Eigenvector overlaps of sample covariance matrices with intersecting time periods
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866908566408921088 |
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| author | Riabov, Volodymyr Tikhonov, Konstantin Bouchaud, Jean-Philippe |
| author_facet | Riabov, Volodymyr Tikhonov, Konstantin Bouchaud, Jean-Philippe |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_25076 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Eigenvector overlaps of sample covariance matrices with intersecting time periods Riabov, Volodymyr Tikhonov, Konstantin Bouchaud, Jean-Philippe Statistical Mechanics Data Analysis, Statistics and Probability Mathematical Finance 60B20 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. |
| title | Eigenvector overlaps of sample covariance matrices with intersecting time periods |
| topic | Statistical Mechanics Data Analysis, Statistics and Probability Mathematical Finance 60B20 |
| url | https://arxiv.org/abs/2509.25076 |