Random matrix theory in statistics: a review (Q2453609)

scientific article; zbMATH DE number 6302186

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title

Random matrix theory in statistics: a review (English)

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Journal of Statistical Planning and Inference

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publication date

10 June 2014

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full work available at URL

https://escholarship.org/uc/item/2350x9hz

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zbMATH Keywords

MANOVA

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Marčenko-Pastur law

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principal components analysis

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Stieltjes transforms

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Wishart matrix

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Tracy-Widom law

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describes a project that uses

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MaRDI publication profile

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cites work

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CLT for linear spectral statistics of Wigner matrices

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Local semicircle law and complete delocalization for Wigner random matrices

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Universality of local spectral statistics of random matrices

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The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

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Central limit theorem for traces of large random symmetric matrices with independent matrix elements

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Random matrices, nonbacktracking walks, and orthogonal polynomials

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The Tracy-Widom law for some sparse random matrices

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The spectral edge of some random band matrices

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Universality at the edge of the spectrum in Wigner random matrices.

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Determinantal random point fields

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Gaussian limit for determinantal random point fields.

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A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices

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Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails

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Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles

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A test for the mean vector with fewer observations than the dimension

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Random matrices: Universality of local eigenvalue statistics up to the edge

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Random matrices: universality of local eigenvalue statistics

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A central limit theorem for the determinant of a Wigner matrix

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Random covariance matrices: universality of local statistics of eigenvalues

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Random matrices: sharp concentration of eigenvalues

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Probabilistic Principal Component Analysis

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Identifiers

zbMATH Open document ID

1287.62011

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Mathematics Subject Classification ID

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10.1016/J.JSPI.2013.09.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:2453609