Abstract
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 [Formula: see text] is characterized. It is also established that the squared singular values are almost surely located in a neighborhood of [Formula: see text].
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