On singular values distribution of a large auto-covariance matrix in the ultra-dimensional regime

Qinwen Wang, Jianfeng Yao

Let $({\epsilon }_t{)}_{t>0}$ be a sequence of independent real random vectors of $p$-dimension and let $X_T={\sum }_{t=s+1}^{s+T}{\epsilon }_t{\epsilon }_{t-s}^T/T$ be the lag-$s$ ($…