Some limit theorems for the eigenvalues of a sample covariance matrix

DOI10.1016/0047-259X(82)90080-XzbMATH Open0491.62021MaRDI QIDQ1167486FDOQ1167486

Authors: Dag Jonsson 

Publication date: 1982

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

cumulative distribution functionmethod of momentsweak convergencealmost sure convergencegeneralized variancestochastic convergencebounds of Berry- Esseen typeeigenvalues of sample covariance matrixlog sum of eigenvalues

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

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Cited In (only showing first 100 items - show all)

• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• On the eigenvectors of large dimensional sample covariance matrices
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Central limit theorems for the real eigenvalues of large Gaussian random matrices
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
• How many entries of a typical orthogonal matrix can be approximated by independent normals?
• Fluctuations of eigenvalues and second order Poincaré inequalities
• Global fluctuations for linear statistics of \({\beta}\)-Jacobi ensembles
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Limiting spectral distribution of \(XX^{\prime }\) matrices
• Eigenvalue Density of the Wishart Matrix and Large Deviations
• Gaussian fluctuations for linear spectral statistics of deformed Wigner matrices
• Testing the independence of sets of large-dimensional variables
• Central limit theorem for mesoscopic eigenvalue statistics of deformed Wigner matrices and sample covariance matrices
• Addition of freely independent random variables
• A note on testing the covariance matrix for large dimension
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
• Bernoulli random matrices
• Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
• Functional CLT of eigenvectors for large sample covariance matrices
• Limiting behavior of the eigenvalues of a multivariate F matrix
• Orthogonal polynomials and fluctuations of random matrices
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• Gaussian fluctuation for linear eigenvalue statistics of large dilute Wigner matrices
• Random matrix theory in statistics: a review
• A CLT for a band matrix model
• Functional CLT for sample covariance matrices
• Partial transposition of random states and non-centered semicircular distributions
• A note on a Marčenko-Pastur type theorem for time series
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• On the singular values of Gaussian random matrices
• On fluctuations of eigenvalues of random permutation matrices
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• On the sphericity test with large-dimensional observations
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• On fluctuations for random band Toeplitz matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Central limit theorem for linear eigenvalue statistics of the Wigner and the sample covariance random matrices
• On asymptotics of eigenvectors of large sample covariance matrix
• Comparison between two types of large sample covariance matrices
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
• Asymptotic normality for traces of polynomials in independent complex Wishart matrices
• Linear eigenvalue statistics of random matrices with a variance profile
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• Accurate Bayesian data classification without hyperparameter cross-validation
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Circular law
• On estimation in the reduced-rank regression with a large number of responses and predictors
• Mass transportation proofs of free functional inequalities, and free Poincaré inequalities
• Global fluctuations in general \(\beta \) Dyson's Brownian motion
• On the large deviations of traces of random matrices
• Central limit theorems for linear statistics of heavy tailed random matrices
• Functional limit theorems for random regular graphs
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions
• A CLT for information-theoretic statistics of Gram random matrices with a given variance profile
• On asymptotic behavior of multilinear eigenvalue statistics of random matrices
• A new method for bounding rates of convergence of empirical spectral distributions
• Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices
• Approximation of Haar distributed matrices and limiting distributions of eigenvalues of Jacobi ensembles
• Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero
• Asymptotic distributions of the signal-to-interference ratio of LMMSE detection in multiuser communications
• Random matrices with complex Gaussian entries
• A CLT for information-theoretic statistics of non-centered Gram random matrices
• A limit theorem for the eigenvalues of product of two random matrices
• Distances between random orthogonal matrices and independent normals
• The norm of polynomials in large random and deterministic matrices
• Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
• Global spectrum fluctuations for the β-Hermite and β-Laguerre ensembles via matrix models
• A CLT for linear spectral statistics of large random information-plus-noise matrices
• High-dimensional CLTs for individual Mahalanobis distances
• A random walk approach to linear statistics in random tournament ensembles
• High-dimensional covariance matrices in elliptical distributions with application to spherical test
• Fluctuations of eigenvalues of patterned random matrices
• Linear eigenvalue statistics of XX′ matrices
• Testing independence via spectral moments
• Orthogonal polynomials relative to a generalized Marchenko-Pastur probability measure
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Linear spectral statistics of sequential sample covariance matrices
• CLT for linear spectral statistics of Hermitian Wigner matrices with general moment conditions
• Central limit theorem of random quadratics forms involving random matrices
• Large deviations of spread measures for Gaussian matrices
• Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
• Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm
• Fluctuations of the diagonal entries of a large sample precision matrix
• A bootstrap method for spectral statistics in high-dimensional elliptical models
• In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute
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• Universality in the fluctuation of eigenvalues of random circulant matrices
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• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
• Joint global fluctuations of complex Wigner and deterministic matrices

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