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

DOI10.3150/15-BEJ772MaRDI QIDQ520693zbMATHFDO

Authors Shurong Zheng, Zhidong Bai, Jian-Feng Yao

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) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited in

(15)

• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Spectral statistics of sample block correlation matrices
• A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
• 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
• The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• Spiked eigenvalues of noncentral Fisher matrix with applications
• Linear spectral statistics of sequential sample covariance matrices
• High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
• Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
• Extreme eigenvalues of large-dimensional spiked Fisher matrices with application
• Random matrix-improved estimation of covariance matrix distances
• Testing for independence of large dimensional vectors

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