The eigenvector LSD of information plus noise matrices and its application to linear regression model

DOI10.1016/J.SPL.2023.109811zbMATH Open1517.60014OpenAlexW4322123515MaRDI QIDQ6165366FDOQ6165366

Yuling Li, Huanchao Zhou, Jiang Hu

Publication date: 4 July 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109811

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zbMATH Keywords

linear regression modelrandom matrix theoryLSDESDinformation plus noise matrix

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Random matrices (probabilistic aspects) (60B20)

Cites Work

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• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
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• Analysis of the limiting spectral distribution of large dimensional information-plus-noise type matrices
• On the eigenvectors of large dimensional sample covariance matrices
• Functional CLT of eigenvectors for large sample covariance matrices
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Asymptotics of AIC, BIC and \(C_p\) model selection rules in high-dimensional regression
• Convergence of eigenvector empirical spectral distribution of sample covariance matrices

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