Asymptotic properties of eigenmatrices of a large sample covariance matrix

DOI10.1214/10-AAP748zbMath1234.15013arXiv1201.0086MaRDI QIDQ655590

Wing-Keung Wong, HuiXia Liu, Zhi-Dong Bai

Publication date: 4 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0086

zbMATH Keywords

Gaussian processrandom matrixcentral limit theoremssample covariance matrixsemicircular lawlinear spectral statisticsMarchenko-Pastur lawHaar distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Related Items (7)

Statistical Inference for High-Dimensional Global Minimum Variance Portfolios ⋮ An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Random matrix theory in statistics: a review ⋮ Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test ⋮ On the dimension effect of regularized linear discriminant analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• On the eigenvectors of large dimensional sample covariance matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Limiting spectral distribution for a class of random matrices
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• On asymptotics of eigenvectors of large sample covariance matrix
• Large system performance of linear multiuser receivers in multipath fading channels
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
• Describing the Behavior of Eigenvectors of Random Matrices Using Sequences of Measures on Orthogonal Groups
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

This page was built for publication: Asymptotic properties of eigenmatrices of a large sample covariance matrix