scientific article; zbMATH DE number 3940318

MaRDI QIDQ3711396zbMATH OpenFDO

Authors Jack W. Silverstein

Publication date 1986

zbMATH Keywords

eigenvectors and Haar measureempirical distribution function of the eigenvaluessample covariance matrices

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Analysis of variance and covariance (ANOVA) (62J10)

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(20)

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• Limit laws for random matrices and free products
• Condition numbers of random matrices
• A new test for sphericity of the covariance matrix for high dimensional data
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• On the eigenvectors of large-dimensional sample spatial sign covariance matrices
• Functional CLT of eigenvectors for large sample covariance matrices
• Eigen structure of a new class of covariance and inverse covariance matrices
• Inferring the eigenvalues of covariance matrices from limited, noisy data
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• Universality for Eigenvalue Algorithms on Sample Covariance Matrices
• Eigenvalue distribution of large sample covariance matrices of linear processes
• Cleaning large correlation matrices: tools from random matrix theory
• The asymptotic properties of the large dimension random matrix
• Distribution approximation of covariance matrix eigenvalues
• Eigenvectors of some large sample covariance matrix ensembles
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

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