Large sample correlation matrices with unbounded spectrum (Q6656667)

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Large sample correlation matrices with unbounded spectrum

scientific article; zbMATH DE number 7961598

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English	Large sample correlation matrices with unbounded spectrum	scientific article; zbMATH DE number 7961598

Statements

instance of

scholarly article

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title

Large sample correlation matrices with unbounded spectrum (English)

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author

Yan-peng Li

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published in

Journal of Multivariate Analysis

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publication date

3 January 2025

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zbMATH Keywords

factor model

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limiting spectral distribution

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principal component analysis

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sample correlation matrix

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spiked eigenvalues

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MaRDI profile type

MaRDI publication profile

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cites work

Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis

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Spectral analysis of large dimensional random matrices

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High-dimensional covariance matrix estimation in approximate factor models

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Optimal detection of sparse principal components in high dimension

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Statistical inference for principal components of spiked covariance matrices

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Testing hypotheses about the number of factors in large factor models

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Asymptotics of sample eigenstructure for a large dimensional spiked covariance model

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Large sample covariance matrices and high-dimensional data analysis

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Minimax bounds for sparse PCA with noisy high-dimensional data

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Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply

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Projected principal component analysis in factor models

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The statistics and mathematics of high dimension low sample size asymptotics

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Principal component analysis.

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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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Tests for high-dimensional covariance matrices

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Testing high-dimensional covariance matrices under the elliptical distribution and beyond

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Determining the Number of Factors in Approximate Factor Models

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Asymptotics of the principal components estimator of large factor models with weakly influential factors

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Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices

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Estimating Number of Factors by Adjusted Eigenvalues Thresholding

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The limiting distributions of eigenvalues of sample correlation matrices

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Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

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

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

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Robustness of the sample correlation -- the bivariate lognormal case

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Large sample correlation matrices: a comparison theorem and its applications

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

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

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Signal detection in high dimension: the multispiked case

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Roy's largest root test under rank-one alternatives

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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

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On consistency and sparsity for principal components analysis in high dimensions

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Largest entries of sample correlation matrices from equi-correlated normal populations

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On the distribution of the largest eigenvalue in principal components analysis

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

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Convergence to the semicircle law

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

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Analysis of the limiting spectral distribution of large dimensional random matrices

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Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices

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On sample eigenvalues in a generalized spiked population model

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Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero

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

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A Dynamical Approach to Random Matrix Theory

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JMVA.2024.105373

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Sitelinks

Mathematics(1 entry)

mardi Publication:6656667