Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing

DOI10.1214/14-AOS1292zbMath1312.62074arXiv1404.6633OpenAlexW2030376515MaRDI QIDQ2343955

Jian-feng Yao, Shurong Zheng, Zhi-Dong Bai

Publication date: 11 May 2015

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

Full work available at URL: https://arxiv.org/abs/1404.6633

zbMATH Keywords

high-dimensional dataCLT for linear spectral statisticssubstitution principlehigh-dimensional sample covariance matrixlarge Fisher matrixtesting on high-dimensional covariance matrixunbiased sample covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Random matrices (algebraic aspects) (15B52)

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