Spectra of large time-lagged correlation matrices from random matrix theory

We analyze the spectral properties of large, time-lagged correlation matrices using the tools of random matrix theory. We compare predictions of the one-dimensional spectra, based on approaches already proposed in the literature. Employing the methods of free random variables and diagrammatic techniques, we solve a general random matrix problem, namely the spectrum of a matrix - 1/T XAX(dagger). where X is an N x T Gaussian random matrix and A is any T x T, not necessarily symmetric (Hermitian) matrix. Using this result, we study the spectral features of the large lagged correlation matrices as a function of the depth of the time-lag. We also analyze the properties of left and right eigenvector correlations for the time-lagged matrices. We positively verify our results by the numerical simulations.