Random matrix theory in statistics: a review

DOI10.1016/j.jspi.2013.09.005zbMath1287.62011OpenAlexW2012713405MaRDI QIDQ2453609

Alexander Aue, Debashis Paul

Publication date: 10 June 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/2350x9hz

zbMATH Keywords

Wishart matrixStieltjes transformsprincipal components analysisMANOVAMarčenko-Pastur lawTracy-Widom law

Mathematics Subject Classification ID

Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (algebraic aspects) (15B52)

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Uses Software

• glasso
• penalizedLDA
• scout
• PMA
• Rmtstat

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