Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices

DOI10.1214/22-AOS2183WikidataQ114060455 ScholiaQ114060455MaRDI QIDQ2091835

Zhixiang Zhang, Guangming Pan, Ping-Shou Zhong, Shurong Zheng

Publication date: 2 November 2022

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.11010

zbMATH Keywords

central limit theoremsample covariance matrixlinear spectral statisticsleading spiked eigenvalues

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items

Large-dimensional random matrix theory and its applications in deep learning and wireless communications ⋮ A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes

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