Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
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Publication:276985
DOI10.1016/j.jmva.2016.03.001zbMath1338.60011arXiv1509.06121OpenAlexW2310611010MaRDI QIDQ276985
Nestor Parolya, Taras Bodnar, Dette, Holger
Publication date: 4 May 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.06121
Multivariate distribution of statistics (62H10) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)
Related Items (7)
Fluctuations of the diagonal entries of a large sample precision matrix ⋮ Polynomial whitening for high-dimensional data ⋮ Recent advances in functional data analysis and high-dimensional statistics ⋮ Optimal shrinkage estimator for high-dimensional mean vector ⋮ On the perturbation of the Moore-Penrose inverse of a matrix ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Simplicial and minimal-variance distances in multivariate data analysis
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