This analysis computes eigenvector overlaps in covariance matrices with intersecting time intervals, indicating possible applications in financial data analysis.
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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Riabov et al. (2025) studied this question.
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