Linear spectral statistics of sequential sample covariance matrices (Q6596222)

scientific article; zbMATH DE number 7904821

Language	Label	Description	Also known as
English	Linear spectral statistics of sequential sample covariance matrices	scientific article; zbMATH DE number 7904821

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instance of

scholarly article

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title

Linear spectral statistics of sequential sample covariance matrices (English)

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Annales de l'Institut Henri Poincaré. Probabilités et Statistiques

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publication date

2 September 2024

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zbMATH Keywords

linear spectral statistic

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monitoring spherictiy

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sequential process

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sequential sample covariance matrix

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Stieltjes transform

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Break detection in the covariance structure of multivariate time series models

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Corrections to LRT on large-dimensional covariance matrix by RMT

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CLT for linear spectral statistics of large-dimensional sample covariance matrices.

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Spectral analysis of large dimensional random matrices

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A CLT for linear spectral statistics of large random information-plus-noise matrices

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Spectral statistics of large dimensional Spearman's rank correlation matrix and its application

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The logarithmic law of random determinant

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A note on testing the covariance matrix for large dimension

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Testing for independence of large dimensional vectors

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CLT for spectra of submatrices of Wigner random matrices

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Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

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Tests for High-Dimensional Covariance Matrices

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An invariance principle for triangular arrays

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Q4453303

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Likelihood ratio tests for many groups in high dimensions

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A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters

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Determinants of block Hankel matrices for random matrix-valued measures

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Spectra of overlapping Wishart matrices and the Gaussian free field

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Q5491004

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A new test for sphericity of the covariance matrix for high dimensional data

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On some tests of the covariance matrix under general conditions

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Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions

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Limiting spectral distribution of a symmetrized auto-cross covariance matrix

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Q5623119

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Some limit theorems for the eigenvalues of a sample covariance matrix

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Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

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Central limit theorem for linear spectral statistics of large dimensional quaternion sample covariance matrices

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Central limit theorem for linear eigenvalue statistics of the Wigner and the sample covariance random matrices

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Significance test for sphericity of a normal \(n\)-variate distribution.

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A functional CLT for partial traces of random matrices

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Gaussian fluctuations for linear spectral statistics of large random covariance matrices

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Random matrices: law of the determinant

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Comparison between two types of large sample covariance matrices

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Central limit theorem for signal-to-interference ratio of reduced rank linear receiver

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Weak convergence and empirical processes. With applications to statistics

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On the sphericity test with large-dimensional observations

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The logarithmic law of sample covariance matrices near singularity

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

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Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices

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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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CLT for eigenvalue statistics of large-dimensional general Fisher matrices with applications

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CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data

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Identifiers

DOI

10.1214/22-aihp1339

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6596222