Application of Random Matrix Theory to Multivariate Statistics

DOI10.1007/978-1-4419-9514-8_7OpenAlexW2151614291MaRDI QIDQ2908889FDOQ2908889

Authors: Momar Dieng, Craig A. Tracy 

Publication date: 29 August 2012

Published in: Random Matrices, Random Processes and Integrable Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603543

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Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (13)

• STATISTICAL THEORY OF THE VECTOR RANDOM DECREMENT TECHNIQUE
• Intermediate level statistics with one-parameter random matrix ensembles
• On the maximal domain of attraction of Tracy-Widom distribution for Gaussian unitary ensembles
• Random matrix theory and (big) data analysis
• Near-extreme eigenvalues and the first gap of Hermitian random matrices
• Convergence of eigenvector empirical spectral distribution of sample covariance matrices
• Edge universality of separable covariance matrices
• On the usage of joint diagonalization in multivariate statistics
• Linear statistics of matrix ensembles in classical background
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Universality of covariance matrices
• Linear statistics of random matrix ensembles at the spectrum edge associated with the Airy kernel
• Global and local scaling limits for linear eigenvalue statistics of Jacobi \(\beta\)-ensembles

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