CLT for eigenvalue statistics of large-dimensional general Fisher matrices with applications

DOI10.3150/15-BEJ772zbMath1375.60066MaRDI QIDQ520693

Shurong Zheng, Jian-feng Yao, Zhi-Dong Bai

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1486177395

zbMATH Keywords

central limit theoremlinear spectral statisticsequality of covariance matriceslarge-dimensional covariance matriceslarge-dimensional Fisher matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20)

Related Items (8)

CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data ⋮ Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications ⋮ Limiting spectral distribution of high-dimensional noncentral Fisher matrices and its analysis ⋮ High-dimensional general linear hypothesis tests via non-linear spectral shrinkage ⋮ The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications ⋮ Random matrix-improved estimation of covariance matrix distances ⋮ Estimation of two high-dimensional covariance matrices and the spectrum of their ratio ⋮ Testing for independence of large dimensional vectors

This page was built for publication: CLT for eigenvalue statistics of large-dimensional general Fisher matrices with applications