The asymptotic behavior of the distribution of the squared singular values of the sample autocovariance matrix between the past and the future of a high-dimensional complex Gaussian uncorrelated sequence is studied. Using Gaussian tools, it is established that the distribution behaves as a deterministic probability measure whose support 𝒮 is characterized. It is also established that the squared singular values are almost surely located in a neighborhood of 𝒮.

中文翻译：

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关于过去和未来之间的大型经验自协方差矩阵的行为

研究了高维复高斯不相关序列的过去和未来样本自协方差矩阵的奇异值平方分布的渐近行为。使用高斯工具，确定分布表现为确定性概率测度，其支持𝒮有特点。还确定平方奇异值几乎肯定位于𝒮.