Linear spectral statistics of sequential sample covariance matrices (Q6596222)

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Linear spectral statistics of sequential sample covariance matrices

scientific article; zbMATH DE number 7904821

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English	Linear spectral statistics of sequential sample covariance matrices	scientific article; zbMATH DE number 7904821

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instance of

scholarly article

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title

Linear spectral statistics of sequential sample covariance matrices (English)

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Annales de l'Institut Henri Poincaré. Probabilités et Statistiques

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publication date

2 September 2024

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zbMATH Keywords

linear spectral statistic

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monitoring spherictiy

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sequential process

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sequential sample covariance matrix

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Stieltjes transform

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MaRDI profile type

MaRDI publication profile

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cites work

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Some limit theorems for the eigenvalues of a sample covariance matrix

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Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

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Significance test for sphericity of a normal \(n\)-variate distribution.

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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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CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data

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Identifiers

Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Linear spectral statistics of sequential sample covariance matrices