Central limit theorems for linear spectral statistics of large dimensional F-matrices

DOI10.1214/11-AIHP414zbMATH Open1251.15039OpenAlexW2018628402MaRDI QIDQ424702FDOQ424702

Shurong Zheng

Publication date: 4 June 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1334148207

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zbMATH Keywords

central limit theoremcovariance matricesFisher matrixlinear spectral statisticsbeta matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (47)

• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Testing linear hypotheses in high-dimensional regressions
• Asymptotics of special functions and the central limit theorem on the space \({\mathcal P}_ n\) of positive \(n\times n\) matrices
• Testing for independence of large dimensional vectors
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• A new test for the proportionality of two large-dimensional covariance matrices
• Testing proportionality of two large-dimensional covariance matrices
• Detecting Changes in Covariance via Random Matrix Theory
• Random matrix-improved estimation of covariance matrix distances
• Testing the independence of sets of large-dimensional variables
• Linear spectral statistics of sequential sample covariance matrices
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• Hypothesis testing on linear structures of high-dimensional covariance matrix
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• Asymptotic linear spectral statistics for spiked Hermitian random matrices

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