Determinant of sample correlation matrix with application

DOI10.1214/17-AAP1362zbMATH Open1412.60016OpenAlexW2915903329WikidataQ128346654 ScholiaQ128346654MaRDI QIDQ2415503FDOQ2415503

Authors: Tiefeng Jiang 

Publication date: 22 May 2019

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

Full work available at URL: https://projecteuclid.org/euclid.aoap/1550566833

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zbMATH Keywords

multivariate normal distributioncentral limit theoremmoment generating functionsmallest eigenvaluesample correlation matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Cited In (15)

• Contiguity under high-dimensional Gaussianity with applications to covariance testing
• High-dimensional Edgeworth expansion of the determinant of sample correlation matrix and its error bound
• Exact sampling distribution of the general case sample correlation matrix
• Log determinant of large correlation matrices under infinite fourth moment
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Spectral Properties of Rescaled Sample Correlation Matrix
• A test for the identity of a high-dimensional correlation matrix based on the \(\ell_4\)-norm
• Logarithmic law of large random correlation matrices
• Distribution of the determinant of the sample correlation matrix from a mixture normal model
• The asymptotic distribution of the determinant of a random correlation matrix
• Some Observations on the Correlation Determinant
• On the distribution of sample scale-free scatter matrices
• On the distribution of the determinant of sample correlation matrix from multivariate Gaussian population
• Likelihood ratio tests for many groups in high dimensions
• Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices

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