High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation

DOI10.1214/23-bjps574zbMath1528.60012OpenAlexW4386260348MaRDI QIDQ6137369

Unnamed Author, David A. C. Mollinedo, Ciprian A. Tudor

Publication date: 1 September 2023

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/23-bjps574

zbMATH Keywords

Malliavin calculusStein's methodstochastic heat equationWishart matrixWiener chaosmultiple stochastic integralshigh-dimensional regimespacetime white noise

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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