Gaussian fluctuations for linear spectral statistics of large random covariance matrices
From MaRDI portal
Publication:303975
DOI10.1214/15-AAP1135zbMath1408.60011arXiv1309.3728MaRDI QIDQ303975
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.3728
60F05: Central limit and other weak theorems
60B20: Random matrices (probabilistic aspects)
60F15: Strong limit theorems
15A18: Eigenvalues, singular values, and eigenvectors
15B52: Random matrices (algebraic aspects)
Related Items
On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series, Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes, Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices, Moderate deviations for linear eigenvalue statistics of β-ensembles, Fluctuations of the diagonal entries of a large sample precision matrix, Linear eigenvalue statistics of XX′ matrices, Logarithmic law of large random correlation matrices, A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes, On the CLT for Linear Eigenvalue Statistics of a Tensor Model of Sample Covariance Matrices, Beyond universality in random matrix theory, On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices, Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges, On fluctuations of eigenvalues of random band matrices, Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals, Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices, A CLT for linear spectral statistics of large random information-plus-noise matrices, Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds, Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications, Free energy of bipartite spherical Sherrington-Kirkpatrick model, A functional CLT for partial traces of random matrices, Central limit theorem for mesoscopic eigenvalue statistics of deformed Wigner matrices and sample covariance matrices, Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices, Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices, CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data, Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices, Testing high-dimensional covariance matrices under the elliptical distribution and beyond, A review of exact results for fluctuation formulas in random matrix theory, Outlier Eigenvalues for Deformed I.I.D. Random Matrices, Gaussian fluctuations for linear spectral statistics of deformed Wigner matrices
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On fluctuations of matrix entries of regular functions of Wigner matrices with non-identically distributed entries
- Functional CLT for sample covariance matrices
- Fluctuations of matrix entries of regular functions of Wigner matrices
- A CLT for a band matrix model
- Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
- Fluctuations of eigenvalues and second order Poincaré inequalities
- Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
- Spectral analysis of large dimensional random matrices
- Some limit theorems for the eigenvalues of a sample covariance matrix
- Large deviations upper bounds and central limit theorems for non-commutative functionals of Gaussian large random matrices
- Non-commutative polynomials of independent Gaussian random matrices. The real and symplectic cases.
- On the distribution of the largest eigenvalue in principal components analysis
- The central limit theorem for local linear statistics in classical compact groups and related combinatorial identities
- CLT for linear spectral statistics of large-dimensional sample covariance matrices.
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- Central limit theorem for partial linear eigenvalue statistics of Wigner matrices
- On bilinear forms based on the resolvent of large random matrices
- On fluctuations of eigenvalues of random Hermitian matrices.
- Central limit theorems for linear statistics of heavy tailed random matrices
- On the empirical distribution of eigenvalues of large dimensional information-plus-noise-type matrices
- A CLT for information-theoretic statistics of Gram random matrices with a given variance profile
- Comparison between two types of large sample covariance matrices
- Deterministic equivalents for certain functionals of large random matrices
- A new application of random matrices: \(\operatorname{Ext} (C_{\text{red}}^*(F_2))\) is not a group
- Randverteilungen analytischer Funktionen und Distributionen
- Random Matrix Methods for Wireless Communications
- A CLT FOR INFORMATION-THEORETIC STATISTICS OF NON-CENTERED GRAM RANDOM MATRICES
- ASYMPTOTIC EXPANSIONS FOR THE GAUSSIAN UNITARY ENSEMBLE
- The Central Limit Theorem for Linear Eigenvalue Statistics of the Sum of Independent Matrices of Rank One
- Central Limit Theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
- Analyse semi-classique pour l'équation de Harper (avec application à l'équation de Schrödinger avec champ magnétique)
- Central limit theorem for traces of large random symmetric matrices with independent matrix elements
- Real Analysis and Probability
- Spectral Theory and its Applications
- A Central Limit Theorem for the SINR at the LMMSE Estimator Output for Large-Dimensional Signals
- Improved Subspace Estimation for Multivariate Observations of High Dimension: The Deterministic Signals Case
- Asymptotic properties of large random matrices with independent entries
- Strong asymptotic freeness for Wigner and Wishart matrices
- Fluctations of the empirical law of large random matrices
- On the \(1/n\) expansion for some unitary invariant ensembles of random matrices
