Year: 2025
Type: preprint
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.
Source: arXiv (Cornell University)
Authors: Riabov, Volodymyr, Tikhonov, Konstantin, Bouchaud, Jean-Philippe
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4415337639
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