A note on the CLT of the LSS for sample covariance matrix from a spiked population model

DOI10.1016/j.jmva.2014.04.021zbMath1292.62085arXiv1304.6164OpenAlexW1978528291WikidataQ57441410 ScholiaQ57441410MaRDI QIDQ2252894

Qinwen Wang, Jack W. Silverstein, Jian-feng Yao

Publication date: 24 July 2014

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

Full work available at URL: https://arxiv.org/abs/1304.6164

zbMATH Keywords

central limit theoremfactor modelsspiked population modelcentering parameterlarge-dimensional sample covariance matrices

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Related Items

Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model with ferromagnetic interaction, Regularized LRT for large scale covariance matrices: one sample problem, Testing high dimensional covariance matrices via posterior Bayes factor, On the sphericity test with large-dimensional observations, Two-sample tests for high-dimensional covariance matrices using both difference and ratio, Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices, Asymptotic linear spectral statistics for spiked Hermitian random matrices, High-dimensional sphericity test by extended likelihood ratio, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models

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