Spectrum of high-dimensional sample covariance and related matrices: a selective review (Q6645567)
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scientific article; zbMATH DE number 7951267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spectrum of high-dimensional sample covariance and related matrices: a selective review |
scientific article; zbMATH DE number 7951267 |
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Spectrum of high-dimensional sample covariance and related matrices: a selective review (English)
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28 November 2024
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autocovariance matrix
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banded matrix
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circular variable
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compound free Poisson law
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covariance matrix
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cross-covariance matrix
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cross-covariance variable
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elliptic variable
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factor model
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free cumulant
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free independence
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generalized covariance matrix
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graphical inference
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high-dimensional time series
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joint convergence
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Kendall's \(\tau\) matrix
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linear spectral statistics
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Marčenko-Pastur law
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matrix polynomial
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non-commutative probability
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order determination
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separable covariance matrix
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self-adjoint variable
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semi-circular law/variable
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Spearman's \(\rho\) matrix
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spiked covariance matrix
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Stieltjes transform
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sub-exponential decay
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tapered and banded matrices
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test of independence
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Tracy-Widom laws
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Wigner matrix
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