Large sample covariance matrices and high-dimensional data analysis

DOI10.1017/CBO9781107588080MaRDI QIDQ5246856zbMATH OpenOpenAlexFDO

Authors Shurong Zheng, Zhidong Bai, Jian-Feng Yao

Publication date 22 April 2015

Full work available at URL https://doi.org/10.1017/cbo9781107588080

zbMATH Keywords

covariance matrixmultiple correlation coefficientspectral distributionsphericity testspiked population models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

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• On a spiked model for large volatility matrix estimation from noisy high-frequency data
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
• Numerical implementation of the QuEST function
• Asymptotic performance of PCA for high-dimensional heteroscedastic data
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Testing independence in high dimensions using Kendall's tau
• ePCA: high dimensional exponential family PCA
• Accuracy of regularized D-rule for binary classification
• High-dimensional asymptotics of prediction: ridge regression and classification
• Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures
• Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
• High-dimensional linear models: a random matrix perspective
• High-dimensional sphericity test by extended likelihood ratio
• On eigenvalues of a high-dimensional spatial-sign covariance matrix
• Approximate normality in testing an exchangeable covariance structure under large- and high-dimensional settings
• Large sample correlation matrices: a comparison theorem and its applications
• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
• Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
• Heteroskedastic PCA: algorithm, optimality, and applications
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Wigner and Wishart ensembles for sparse Vinberg models
• Perturbation theory for cross data matrix-based PCA
• A generalized information criterion for high-dimensional PCA rank selection
• Likelihood ratio tests for many groups in high dimensions
• Estimation of a multiplicative correlation structure in the large dimensional case
• Estimating latent asset-pricing factors
• Large sample autocovariance matrices of linear processes with heavy tails
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
• Edge universality of separable covariance matrices
• Improved estimation of optimal portfolio with an application to the US stock market
• Random matrix theory for heavy-tailed time series
• The two-to-infinity norm and singular subspace geometry with applications to high-dimensional statistics
• Eigenvalue distributions of variance components estimators in high-dimensional random effects models
• Testing for independence of large dimensional vectors
• Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices
• Comparison between two types of large sample covariance matrices
• Testing high dimensional covariance matrices via posterior Bayes factor
• Matrix means and a novel high-dimensional shrinkage phenomenon
• Wavelet eigenvalue regression in high dimensions
• scientific article; zbMATH DE number 6719853 (Why is no real title available?)
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• Deterministic parallel analysis: an improved method for selecting factors and principal components
• Concentration inequalities for statistical inference
• Efficient computation of limit spectra of sample covariance matrices
• scientific article; zbMATH DE number 5278585 (Why is no real title available?)
• Large-Scale Estimation of Variance and Covariance Components
• Large covariance and autocovariance matrices
• Sample Covariance Matrices of Heavy-Tailed Distributions
• High-dimensional covariance matrix estimation. An introduction to random matrix theory
• WONDER: weighted one-shot distributed ridge regression in high dimensions
• Random matrix models for datasets with fixed time horizons
• Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
• scientific article; zbMATH DE number 7387564 (Why is no real title available?)
• The conjugate gradient algorithm on a general class of spiked covariance matrices
• On high-dimensional tests for mutual independence based on Pearson's correlation coefficient
• On the empirical spectral distribution of lag-covariance matrix in singular spectrum analysis
• Mixtures of traces of Wishart and inverse Wishart matrices
• Order Determination for Spiked Type Models
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• Large Covariance and Autocovariance Matrices, By Arup Bose and Monika Bhattacharjee. Published by Taylor & Francis Group, LLC, Boca Raton, London, New York, 2019. ISBN: 9781138303867 (HARDBACK)
• High-dimensional sample covariance matrices with Curie-Weiss entries
• What causes the test error? Going beyond bias-variance via ANOVA
• Singular vector distribution of sample covariance matrices
• Cleaning large correlation matrices: tools from random matrix theory
• Fine asymptotics for models with Gamma type moments
• A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population
• Biwhitening Reveals the Rank of a Count Matrix
• Editorial
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso
• Large sample covariance matrices of Gaussian observations with uniform correlation decay
• Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices
• Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications
• Self-supervised Metric Learning in Multi-View Data: A Downstream Task Perspective
• Local laws for multiplication of random matrices
• Order determination for spiked-type models with a divergent number of spikes
• A bootstrap method for spectral statistics in high-dimensional elliptical models
• On singular values of data matrices with general independent columns
• Logarithmic law of large random correlation matrices
• Entrywise limit theorems for eigenvectors of signal-plus-noise matrix models with weak signals
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes
• Principal Component Analysis and Randomness Test for Big Data Analysis
• Analytical formula for large eigenvalues of sample covariance matrix in infinite dimensional case
• Linear spectral statistics of sequential sample covariance matrices
• Log determinant of large correlation matrices under infinite fourth moment
• On blockwise and reference panel-based estimators for genetic data prediction in high dimensions
• Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
• Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
• Comment: Ridge Regression and Regularization of Large Matrices
• The limiting spectral distribution of large random permutation matrices
• Covariance structure tests for multivariate \(t\)-distribution
• Large sample correlation matrices with unbounded spectrum
• The asymptotic properties of the extreme eigenvectors of high-dimensional generalized spiked covariance models

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