High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

DOI10.1111/rssb.12189zbMath1411.60038arXiv1411.0081OpenAlexW2467189210MaRDI QIDQ5743238

Guangming Pan, Xiao Han, Yanrong Yang, J. T. Gao

Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.0081

zbMATH Keywords

central limit theoremindependence testlinear spectral statisticsequivalence testhigh dimensional correlation matrix

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20)

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