Determinant of sample correlation matrix with application

DOI10.1214/17-AAP1362MaRDI QIDQ2415503zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cited in

(16)

• 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
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Exact sampling distribution of the general case sample correlation matrix
• High dimensional correlation matrices: the central limit theorem and its applications
• Log determinant of large correlation matrices under infinite fourth moment
• 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 the determinant of sample correlation matrix from multivariate Gaussian population
• On the distribution of sample scale-free scatter matrices
• 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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