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High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices - MaRDI portal

High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices (Q6063732)

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scientific article; zbMATH DE number 7762536
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English
High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
scientific article; zbMATH DE number 7762536

    Statements

    title
    High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices (English)
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    publication date
    8 November 2023
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    zbMATH Keywords
    Wishart matrices
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    high-dimensional regime
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    self-similar Gaussian processes
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    non-stationarity
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    Malliavin calculus
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    empirical spectral distributions
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    semicircular distribution
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    functional limit theorems
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    cites work
    Q4269108
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    Q5531480
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    Q3394879
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    Identifiers

    arXiv ID
    2011.01199
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    Mathematics Subject Classification ID
    60G15
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    60G22
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    60B20
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    60F05
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    60H07
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    zbMATH DE Number
    7762536
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