Corrections to LRT on large-dimensional covariance matrix by RMT
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Publication:1043713
DOI10.1214/09-AOS694zbMath1360.62286arXiv0902.0552OpenAlexW3103619894MaRDI QIDQ1043713
Dandan Jiang, Shurong Zheng, Jian-feng Yao, Zhi-Dong Bai
Publication date: 9 December 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.0552
high-dimensional datarandom \(F\)-matricesMarčenko-Pastur distributionstesting on covariance matrices
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