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Deformation of Marchenko-Pastur distribution for the correlated time series

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  • Masato Hisakado
  • Takuya Kaneko

Abstract

We study the eigenvalue of the Wishart matrix which is created form the time series with the temporal correlation. When there is no correlation, the eigenvalue distribution of the Wishart matrix is known as the Marchenko-Pastur distribution (MPD) in the double scaling limit. When there is the temporal correlation, the eigenvalue distribution converges to the deformed MPD which has longer tail and higher peak than the MPD. We discuss the moments of the distribution and the convergence to the deformed MPD. We show the second moment increases as the temporal correlation increases. When the temporal correlation is the power decay, we can confirm the phase transition. When $\gamma>1/2$ which is the power index, the second moment of the distribution is finite and the largest eigenvalue is finite. On the other hand, when $\gamma\leq 1/2$, the second moment is infinite and the maximum eigenvalue is infinite.

Suggested Citation

  • Masato Hisakado & Takuya Kaneko, 2023. "Deformation of Marchenko-Pastur distribution for the correlated time series," Papers 2305.12632, arXiv.org.
    • Handle: RePEc:arx:papers:2305.12632
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