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arXiv · 2509.25076

Eigenvector overlaps of sample covariance matrices with intersecting time periods

Volodymyr Riabov·Konstantin Tikhonov·Jean-Philippe Bouchaud
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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.

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Volodymyr Riabov, Konstantin Tikhonov, Jean-Philippe Bouchaud. 2025-09-29. Eigenvector overlaps of sample covariance matrices with intersecting time periods. https://arxiv.org/abs/2509.25076

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