Abstract
We compute the asymptotic distribution of the sample covariance matrix for independent and identically distributed random vectors with regularly varying tails. If the tails of the random vectors are sufficiently heavy so that the fourth moments do not exist, then the sample covariance matrix is asymptotically operator stable as a random element of the vector space of symmetric matrices.
Similar content being viewed by others
REFERENCES
Araujo, A., and Giné, (1980). The Central Limit Theorem for Real and Banach Valued Random Variables, Wiley, New York.
Billingsley, P. (1966). Convergence of types in k-space. Z. Wahrsch. verw. Geb. 5, 175–179.
Bingham, N., Goldie, C., and Teugels, J. (1987). Regular Variation. Encyclopedia of Mathematics and Its Applications, Vol. 27, Cambridge University Press.
Cline, D. (1986). Convolution tails, product tails, and domains of attraction. Prob. Th. Rel. Fields 72, 529–557.
Davis, R., Marengo, J., and Resnick, S. (1985). Extremal properties of a class of multivariate moving averages. Proc. 45th Int. Statistical Institute, Vol. 4, Amsterdam.
Davis, R., and Marengo, J. (1990). Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes. Commun. Statist. Stoch. Models 6, 483–497.
Feller, W. (1971). An Introduction to Probability Theory and Its Applications, Vol. II, Second Edition, Wiley, New York.
Hirsch, M., and Smale, S. (1974). Differential Equations, Dynamical Systems, and Linear Algebra, Academic Press, New York.
Jurek, Z., and Mason, J. D. (1993). Operator-Limit Distributions in Probability Theory, Wiley, New York.
Meerschaert, M. (1988). Regular variation in ℝk, Proc. Amer. Math. Soc. 102, 341–348.
Meerschaert, M. (1993). Regular variation and generalized domains of attraction in ℝk. Stat. Prob. Lett. 18, 233–239.
Meerschaert, M. (1994). Norming operators for generalized domains of attraction. J. Theor. Prob. 7, 793–798.
Meerschaert, M. and Scheffler, H. P. (1999). Moving averages of random vectors with regularly varying tails. J. Time Series Anal., to appear.
Seneta, E. (1976). Regularly Varying Functions. LNM, Vol. 508, Springer, Berlin.
Sepanski, S. (1994). Asymptotics for multivariate t-statistic and Hotellings's T 2-statistic under infinite second moments via bootstrapping. J. Multivariate Anal. 49, 41–54.
Sharpe, M. (1969). Operator-stable probability distributions on vector groups. Trans. Amer. Math. Soc. 136, 51–65.
Tortrat, A. (1971). Calcul des Probabilités et Introduction aux Processus Aléatoires (French), Masson et Cie Éditeurs, Paris.
Vu, H., Maller, R., and Klass, M. (1996). On the studentization of random vectors. J. Multivariate Anal. 57, 142–155.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Meerschaert, M.M., Scheffler, HP. Sample Covariance Matrix for Random Vectors with Heavy Tails. Journal of Theoretical Probability 12, 821–838 (1999). https://doi.org/10.1023/A:1021688101621
Issue Date:
DOI: https://doi.org/10.1023/A:1021688101621