Determinant of sample correlation matrix with application

DOI10.1214/17-AAP1362zbMath1412.60016OpenAlexW2915903329WikidataQ128346654 ScholiaQ128346654MaRDI QIDQ2415503

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

central limit theoremsmallest eigenvaluemoment generating functionmultivariate normal distributionsample correlation matrix

Mathematics Subject Classification ID

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

Related Items (8)

Spectral Properties of Rescaled Sample Correlation Matrix ⋮ Max-sum tests for cross-sectional independence of high-dimensional panel data ⋮ High-dimensional Edgeworth expansion of the determinant of sample correlation matrix and its error bound ⋮ Likelihood ratio tests for many groups in high dimensions ⋮ A test for the identity of a high-dimensional correlation matrix based on the \(\ell_4\)-norm ⋮ Contiguity under high-dimensional Gaussianity with applications to covariance testing ⋮ Logarithmic law of large random correlation matrices ⋮ Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices

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