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

zbMATH Keywords

extreme value theoryGumbel distributionsample covariance matrixprecise large deviationsmaximum entry

Mathematics Subject Classification ID

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)

Related Items (4)

Logarithmic law of large random correlation matrices ⋮ Large sample correlation matrices: a comparison theorem and its applications ⋮ The asymptotic distribution of the condition number for random circulant matrices ⋮ Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations

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