Point process convergence for the off-diagonal entries of sample covariance matrices
DOI10.1214/20-AAP1597zbMath1479.60101arXiv2002.07771OpenAlexW3150635303MaRDI QIDQ2240824
Johannes Heiny, Thomas Mikosch, Jorge Yslas
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.07771
extreme value theoryGumbel distributionsample covariance matrixprecise large deviationsmaximum entry
Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Asymptotic properties of parametric tests (62F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Cites Work
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