Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
Publication:2108908
DOI10.1214/22-AAP1802OpenAlexW4311549224MaRDI QIDQ2108908FDOQ2108908
Publication date: 20 December 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/22-aap1802
random matrix theoryeigenvalue distributioneigenvectorHaar distributionhigh dimension correlation matrix
Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)
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Cited In (5)
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- Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
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- Large sample correlation matrices: a comparison theorem and its applications
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