Spectra of large time-lagged correlation matrices from Random Matrix Theory

Abstract

We analyze the spectral properties of large, time-lagged correlation matrices using the tools of random matrix theory. We compare predictions of the one-dimensional spectra, based on approaches already proposed in the literature. Employing the methods of free random variables and diagrammatic techniques, we solve a general random matrix problem, namely the spectrum of a matrix $\frac{1}{T}XA{X}^{†}$, where $X$ is an $N\times T$ Gaussian random matrix and $A$ is \textit{any} $T\times T$, not necessarily symmetric (Hermitian) matrix. As a particular application, we present the spectral features of the large lagged correlation matrices as a function of the depth of the time-lag. We also analyze the properties of left and right eigenvector correlations for the time-lagged matrices. We positively verify our results by the numerical simulations.

44 pages, 11 figures; v2 typos corrected, final version

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