Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions
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Cites work
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Cited in
(10)- Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices
- A bootstrap method for spectral statistics in high-dimensional elliptical models
- Sampling without replacement from a high-dimensional finite population
- Two-sample covariance inference in high-dimensional elliptical models
- Robust two-way dimension reduction by Grassmannian barycenter
- Tracy-Widom distribution for the edge eigenvalues of elliptical model
- Extreme eigenvalues of Laplacian random matrices with Gaussian entries (with an appendix by Santiago Arenas-Velilla and Victor Perez-Abreu)
- Testing the Number of Common Factors by Bootstrapped Sample Covariance Matrix in High-Dimensional Factor Models
- Sequential estimation of high-dimensional signal plus noise models under general elliptical frameworks
- Limiting laws for spiked eigenvalues and largest non-spiked eigenvalues of sample covariance matrices in elliptical distributions
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