Spectral estimation for high-dimensional linear processes

Abstract

We develop a random-matrix-based framework for estimating the latent joint spectral distribution of the coefficient matrices and innovation covariance of a class of high-dimensional linear processes from the eigenvalues of weighted sample periodograms. The model assumes that these matrices share a common orthonormal eigenbasis, while the dimension $p$ and the sample size $n$ satisfy $p/n\to c\in (0,\infty )$. We derive the almost-sure limiting spectral distribution of frequency-weighted integrals of the sample periodogram and characterize its Stieltjes transform by a system of nonlinear integral equations involving the unknown joint spectrum. For a discrete spectrum supported on a prescribed grid, we estimate the mixture weights by matching empirical and limiting Stieltjes transforms with respect to the general $L_{\kappa }$ discrepancy, $\kappa \ge 1$, and establish consistency for $\kappa =2$. We further propose an estimator of the spectral density matrix and a bootstrap procedure to select among the candidate ARMA models. Simulations demonstrate accurate recovery of the underlying spectral distributions across several autoregressive and moving-average models, and an application to S\&P~500 returns reveals temporal dependence beyond the dominant market factor.