A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes (Q6183780)

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A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes

scientific article; zbMATH DE number 7783539

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English	A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes	scientific article; zbMATH DE number 7783539

Statements

instance of

scholarly article

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title

A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes (English)

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published in

The Annals of Statistics

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publication date

4 January 2024

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full work available at URL

https://arxiv.org/abs/2212.05896

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https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-5/A-CLT-for-the-LSS-of-large-dimensional-sample-covariance/10.1214/23-AOS2333.full

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zbMATH Keywords

empirical spectral distribution

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linear spectral statistic (LSS)

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random matrix

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Stieltjes transform

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MaRDI profile type

MaRDI publication profile

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cites work

Q4420195

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On the distribution of the largest eigenvalue in principal components analysis

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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

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Roy's largest root test under rank-one alternatives

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Testing in high-dimensional spiked models

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Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory

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Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model

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Identifiers

zbMATH Open document ID

1529.60029

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes