The limiting distributions of eigenvalues of sample correlation matrices
From MaRDI portal
Recommendations
- Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
- The asymptotic distributions of the largest entries of sample correlation matrices.
- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
- Almost sure limit of the smallest eigenvalue of some sample correlation matrices
- Large sample correlation matrices: a comparison theorem and its applications
Cited in
(51)- Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
- Large sample covariance matrices of Gaussian observations with uniform correlation decay
- On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
- Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
- Inferences relating to the multiplicity of the smallest eigenvalue of a correlation matrix
- Linear eigenvalue statistics of XX′ matrices
- Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
- Deformed semicircle law and concentration of nonlinear random matrices for ultra-wide neural networks
- Log determinant of large correlation matrices under infinite fourth moment
- Spectral Properties of Rescaled Sample Correlation Matrix
- A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population
- Necessary and sufficient conditions for the Marcĕnko-Pastur law for sample correlation matrices
- Change-point analysis in increasing dimension
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
- Determinant of sample correlation matrix with application
- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
- Random matrix theory in statistics: a review
- Logarithmic law of large random correlation matrices
- Some strong limit theorems for the largest entries of sample correlation matrices
- Limiting spectral distribution of large dimensional Spearman's rank correlation matrices
- Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
- On the Limiting Spectral Density of Symmetric Random Matrices with Correlated Entries
- Strong convergence of ESD for large quaternion sample covariance matrices and correlation matrices when \(p/n\to 0\)
- Comparison between two types of large sample covariance matrices
- On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
- Corrigendum to: ``Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
- Limiting spectral distribution of a symmetrized auto-cross covariance matrix
- CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
- Edge universality of correlation matrices
- Limiting spectral distribution for large sample correlation matrices
- Random matrix theory for heavy-tailed time series
- Joint convergence of sample cross-covariance matrices
- Numerical algorithms for the asymptotic mean and variance of linear spectral statistics of high-dimensional correlation matrices
- On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)
- On the singular value distribution of large-dimensional data matrices whose columns have different correlations
- Large sample correlation matrices with unbounded spectrum
- Spectral statistics of sample block correlation matrices
- Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
- Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
- The asymptotic distributions of the largest entries of sample correlation matrices under an -mixing assumption
- Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices
- Large sample correlation matrices: a comparison theorem and its applications
- Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
- Dropout drops double descent
- Almost sure limit of the smallest eigenvalue of some sample correlation matrices
- Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
- Largest entries of sample correlation matrices from equi-correlated normal populations
- Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
- On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices
- Testing high-dimensional covariance structures using double-normalized observations
This page was built for publication: The limiting distributions of eigenvalues of sample correlation matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3580453)
