The empirical distribution of a large number of correlated normal variables

DOI10.1080/01621459.2014.958156zbMATH Open1373.62222OpenAlexW2122135230WikidataQ38263925 ScholiaQ38263925MaRDI QIDQ5367435FDOQ5367435

Authors: David Azriel, Armin Schwartzman 

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc4742377

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• scientific article; zbMATH DE number 1979609

zbMATH Keywords

factor analysishigh-dimensional datadependent random variablesasymptotic approximationempirical nullstrong correlationempirical cumulative distribution function (ecdf)

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited In (13)

• A strong law of large numbers related to multiple testing normal means
• On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing
• False discovery rate control with unknown null distribution: is it possible to mimic the oracle?
• Estimation of linear projections of non-sparse coefficients in high-dimensional regression
• A strong law of large numbers for simultaneously testing parameters of Lancaster bivariate distributions
• Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences
• A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model
• The distribution of the sample correlation from a complex normal
• Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
• Multiple multi-sample testing under arbitrary covariance dependency
• Cauchy, normal and correlations versus heavy tails
• Large deviation for the empirical correlation coefficient of two Gaussian random variables
• Semi-supervised multiple testing

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