CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions

DOI10.1016/J.JMVA.2022.105007zbMATH Open1493.62328OpenAlexW4280566135WikidataQ114157884 ScholiaQ114157884MaRDI QIDQ2146455FDOQ2146455

Authors: Yangchun Zhang, Jiang Hu, Weiming Li 

Publication date: 16 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105007

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• High-dimensional covariance matrices in elliptical distributions with application to spherical test
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zbMATH Keywords

confidence intervalhigh-dimensional dataGaussian scale mixturecovariance matrixelliptical distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

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Cited In (10)

• Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
• High-dimensional covariance matrices in elliptical distributions with application to spherical test
• Joint central limit theorem for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
• A bootstrap method for spectral statistics in high-dimensional elliptical models
• Functional CLT for sample covariance matrices
• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Separable sample covariance matrices under elliptical populations with applications

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