Gaussian fluctuation for Gaussian Wishart matrices of overall correlation

DOI10.1016/j.spl.2021.109269zbMath1481.60012arXiv2103.16630MaRDI QIDQ2070636

Fei Pu, Ivan Nourdin

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.16630

zbMATH Keywords

Malliavin calculus; Stein's method; high-dimensional regime; Wishart matrices/tensors

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60B20: Random matrices (probabilistic aspects)

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation, Anti-concentration of polynomials: dimension-free covariance bounds and decay of Fourier coefficients

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