Large sample correlation matrices with unbounded spectrum (Q6656667)

scientific article; zbMATH DE number 7961598

Language	Label	Description	Also known as
English	Large sample correlation matrices with unbounded spectrum	scientific article; zbMATH DE number 7961598

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instance of

scholarly article

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title

Large sample correlation matrices with unbounded spectrum (English)

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author

Yanpeng Li

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published in

Journal of Multivariate Analysis

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publication date

3 January 2025

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zbMATH Keywords

factor model

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limiting spectral distribution

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principal component analysis

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sample correlation matrix

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spiked eigenvalues

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MaRDI profile type

Publication

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cites work

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Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

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Signal detection in high dimension: the multispiked case

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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Largest entries of sample correlation matrices from equi-correlated normal populations

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Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero

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A Dynamical Approach to Random Matrix Theory

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Identifiers

DOI

10.1016/j.jmva.2024.105373

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6656667