High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

DOI10.1111/rssb.12189zbMath1411.60038arXiv1411.0081MaRDI QIDQ5743238

Xiao Han, Guangming Pan, Yanrong Yang, J. T. Gao

Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.0081

zbMATH Keywords

central limit theorem; independence test; linear spectral statistics; equivalence test; high dimensional correlation matrix

Mathematics Subject Classification ID

62H15: Hypothesis testing in multivariate analysis

60F05: Central limit and other weak theorems

62H20: Measures of association (correlation, canonical correlation, etc.)

60B20: Random matrices (probabilistic aspects)