Gaussian fluctuations for sample covariance matrices with dependent data

DOI10.1016/j.jmva.2012.08.004zbMath1279.60013arXiv1203.4387OpenAlexW1987361161MaRDI QIDQ1931868

Michael Stolz, Olga Friesen, Matthias Loewe

Publication date: 16 January 2013

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

Full work available at URL: https://arxiv.org/abs/1203.4387

zbMATH Keywords

cumulantsrandom matrix theorydependent random variablessample covariance matricesMarčenko-Pastur law

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (5)

Direct shrinkage estimation of large dimensional precision matrix ⋮ Marchenko–Pastur law with relaxed independence conditions ⋮ Fluctuations of Wigner-type random matrices associated with symmetric spaces of class DIII and CI ⋮ Optimal shrinkage estimator for high-dimensional mean vector ⋮ Estimation of the global minimum variance portfolio in high dimensions

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