Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices (Q2108908)

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Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices

scientific article; zbMATH DE number 7634781

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English	Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices	scientific article; zbMATH DE number 7634781

Statements

instance of

scholarly article

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title

Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices (English)

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The Annals of Applied Probability

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publication date

20 December 2022

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zbMATH Keywords

eigenvalue distribution

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Haar distribution

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high dimension correlation matrix

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eigenvector

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random matrix theory

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1214/22-aap1802

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cites work

Q4877167

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Q4420195

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On asymptotics of eigenvectors of large sample covariance matrix

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CLT for linear spectral statistics of large-dimensional sample covariance matrices.

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Spectral analysis of large dimensional random matrices

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Limit of the smallest eigenvalue of a large dimensional sample covariance matrix

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Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

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Q4836494

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Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices

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Matrix models for beta ensembles

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Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices

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Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond

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Estimating Number of Factors by Adjusted Eigenvalues Thresholding

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High dimensional correlation matrices: the central limit theorem and its applications

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A limit theorem for the norm of random matrices

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Large-Scale Correlation Screening

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Performance of reduced-rank linear interference suppression

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The limiting distributions of eigenvalues of sample correlation matrices

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On the distribution of the largest eigenvalue in principal components analysis

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Fast approach to the tracy-widom law at the edge of GOE and GUE

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Some limit theorems for the eigenvalues of a sample covariance matrix

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Eigenvectors of some large sample covariance matrix ensembles

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Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population

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Central limit theorem for linear eigenvalue statistics of random matrices with independent entries

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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Correlation Tests and Linear Spectral Statistics of the Sample Correlation Matrix

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Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models

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Gaussian fluctuations for linear spectral statistics of large random covariance matrices

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Central limit theorem for signal-to-interference ratio of reduced rank linear receiver

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Asymptotics of sample eigenstructure for a large dimensional spiked covariance model

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Edge universality of correlation matrices

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Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices

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Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

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Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices

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The limit of the smallest singular value of random matrices with i.i.d. entries

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Level-spacing distributions and the Airy kernel

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Linear multiuser receivers: effective interference, effective bandwidth and user capacity

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The strong limits of random matrix spectra for sample matrices of independent elements

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Convergence of eigenvector empirical spectral distribution of sample covariance matrices

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Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix

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Almost sure limit of the smallest eigenvalue of some sample correlation matrices

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Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing

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Test for high-dimensional correlation matrices

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Identifiers

DOI

10.1214/22-AAP1802

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices