Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when $p/n \to \infty$ and applications

DOI10.1214/23-aos2300arXiv2109.06701MaRDI QIDQ6136598

Publication date: 31 August 2023

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.06701

zbMATH Keywords

asymptotic normality separable covariance linear spectral statistics ultra-dimension general sample covariance matrix matrix white noise

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

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Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications