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High-dimensional sample covariance matrices with Curie-Weiss entries - MaRDI portal

High-dimensional sample covariance matrices with Curie-Weiss entries (Q5140268)

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scientific article; zbMATH DE number 7285711

Language	Label	Description	Also known as
English	High-dimensional sample covariance matrices with Curie-Weiss entries	scientific article; zbMATH DE number 7285711

Statements

scholarly article

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Michael Fleermann

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publication date

15 December 2020

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full work available at URL

https://arxiv.org/abs/1910.12332

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http://alea.impa.br/articles/v17/17-33.pdf

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zbMATH Keywords

empirical spectral distribution

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phase transition

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correlated covariance matrix

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MaRDI profile type

MaRDI publication profile

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arXiv classification

math.PR

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Poisson convergence for the largest eigenvalues of heavy tailed random matrices

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Spectral analysis of large dimensional random matrices

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Convergence to the semicircle law

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Marčenko-Pastur law for Kendall's tau

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Tracy-Widom limit for Kendall's tau

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Testing for independence of large dimensional vectors

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Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series

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Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

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Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond

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A phase transition for the limiting spectral density of random matrices

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A limit theorem for the norm of random matrices

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Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case

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Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

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The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

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Semicircle law for a matrix ensemble with dependent entries

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Semicircle law for generalized Curie-Weiss matrix ensembles at subcritical temperature

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Curie–Weiss magnet—a simple model of phase transition

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On the empirical distribution of eigenvalues of a class of large dimensional random matrices

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Limiting spectral distribution of renormalized separable sample covariance matrices when \(p/n\to 0\)

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5140268

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