The empirical distribution of a large number of correlated normal variables

DOI10.1080/01621459.2014.958156MaRDI QIDQ5367435zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cited in

(13)

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• Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
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• Semi-supervised multiple testing
• The distribution of the sample correlation from a complex normal
• A strong law of large numbers related to multiple testing normal means
• Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences
• On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing
• A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model
• Large deviation for the empirical correlation coefficient of two Gaussian random variables
• False discovery rate control with unknown null distribution: is it possible to mimic the oracle?

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