Asymptotic theory for maximum deviations of sample covariance matrix estimates
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Publication:2447660
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Cites work
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- Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- Vast portfolio selection with gross-exposure constraints
Cited in
(20)- Likelihood ratio tests for high-dimensional normal distributions
- Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
- scientific article; zbMATH DE number 4182499 (Why is no real title available?)
- Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
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- Uniform change point tests in high dimension
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- Estimation of deviation for random covariance matrices
- Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error
- Asymptotic Properties of Robust Complex Covariance Matrix Estimates
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- Sharp minimax tests for large covariance matrices and adaptation
- Point process convergence for symmetric functions of high-dimensional random vectors
- Limiting behavior of largest entry of random tensor constructed by high-dimensional data
- Test for high dimensional covariance matrices
- Point process convergence for the off-diagonal entries of sample covariance matrices
- Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
- Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
- Block-diagonal test for high-dimensional covariance matrices
- Asymptotic expansion for distribution of the trace of a covariance matrix under a two-step monotone incomplete sample
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