Eigenvector overlaps of sample covariance matrices with intersecting time periods

Volodymyr Riabov, Konstantin Tikhonov and Jean-Philippe Bouchaud

Papers from arXiv.org

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.

Date: 2025-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2509.25076 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2509.25076

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().