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Eigenvector overlaps of sample covariance matrices with intersecting time periods

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  • Volodymyr Riabov
  • Konstantin Tikhonov
  • Jean-Philippe Bouchaud

Abstract

We compute exactly the overlap between the eigenvectors of two large empirical covariance matrices computed over intersecting time intervals, generalizing the results obtained previously for non-intersecting intervals. Our method relies on a particular form of Girko linearisation and extended local laws. We check our results numerically and apply them to financial data.

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  • Volodymyr Riabov & Konstantin Tikhonov & Jean-Philippe Bouchaud, 2025. "Eigenvector overlaps of sample covariance matrices with intersecting time periods," Papers 2509.25076, arXiv.org.
    • Handle: RePEc:arx:papers:2509.25076
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    File URL: http://arxiv.org/pdf/2509.25076
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