Spectral Properties of Rescaled Sample Correlation Matrix

DOI10.5705/SS.202020.0262MaRDI QIDQ5041343zbMATH OpenOpenAlexWikidataFDO

Authors Yanqing Yin, Changcheng Li, Shurong Zheng, Guo-Liang Tian

Publication date 13 October 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202020.0262

zbMATH Keywords

central limit theoremlimiting spectral distributionrandom matrix theoryrescaled sample correlation matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
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• The limiting distributions of eigenvalues of sample correlation matrices

Cited in

(9)

• Application of rotational spectrum for correlation dimension estimation
• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES
• Spectral statistics of sample block correlation matrices
• Unified and robust tests for cross sectional independence in large panel data models
• Limiting spectral distribution for large sample correlation matrices
• Testing high-dimensional covariance structures using double-normalized observations
• Moderate deviation principle for the determinant of sample correlation matrix
• A new maximum-type test for high-dimensional correlation matrices
• Spectral properties of high-dimensional rescaled sample correlation matrices

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