Edge universality of correlation matrices
From MaRDI portal
Publication:693745
DOI10.1214/12-AOS1022zbMath1260.15051arXiv1112.2381MaRDI QIDQ693745
Publication date: 10 December 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.2381
62H20: Measures of association (correlation, canonical correlation, etc.)
82B44: Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics
15B52: Random matrices (algebraic aspects)
62J10: Analysis of variance and covariance (ANOVA)
Related Items
Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models, Singular vector distribution of sample covariance matrices, A test for the complete independence of high-dimensional random vectors, On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence, Separation of the largest eigenvalues in eigenanalysis of genotype data from discrete subpopulations, Considering Horn's parallel analysis from a random matrix theory point of view, Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications, Spectral statistics of large dimensional Spearman's rank correlation matrix and its application, Recent developments in high dimensional covariance estimation and its related issues, a review, A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices, Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices, Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations, Detection of hubs in complex networks by the Laplacian matrix, Tracy-Widom limit for Kendall's tau, Universality for the largest eigenvalue of sample covariance matrices with general population, A necessary and sufficient condition for edge universality of Wigner matrices, Random matrix theory in statistics: a review, Universality of covariance matrices, Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Spectral statistics of Erdős-Rényi graphs. I: Local semicircle law
- Random covariance matrices: universality of local statistics of eigenvalues
- Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
- Universality of random matrices and local relaxation flow
- Universality for generalized Wigner matrices with Bernoulli distribution
- Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor
- Rigidity of eigenvalues of generalized Wigner matrices
- Local semicircle law and complete delocalization for Wigner random matrices
- A generalization of the Lindeberg principle
- A universality result for the smallest eigenvalues of certain sample covariance matrices
- Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- On the distribution of the largest eigenvalue in principal components analysis
- Bulk universality for generalized Wigner matrices
- Random matrices: Universality of local eigenvalue statistics up to the edge
- Semicircle law on short scales and delocalization of eigenvectors for Wigner random matrices
- The local relaxation flow approach to universality of the local statistics for random matrices
- Universality for certain Hermitian Wigner matrices under weak moment conditions
- Universality of covariance matrices
- The Isotropic Semicircle Law and Deformation of Wigner Matrices
- Bulk universality for Wigner matrices
- Wegner Estimate and Level Repulsion for Wigner Random Matrices
