A CLT for regularized sample covariance matrices

DOI10.1214/07-AOS503zbMath1360.60047arXivmath/0612791MaRDI QIDQ1000301

Ofer Zeitouni, Greg W. Anderson

Publication date: 6 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612791

zbMATH Keywords

regularizationrandom matricessample covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Random matrices (algebraic aspects) (15B52)

Related Items (6)

Spectra of overlapping Wishart matrices and the Gaussian free field ⋮ Spectral statistics of large dimensional Spearman's rank correlation matrix and its application ⋮ Bernoulli random matrices ⋮ A guided random walk through some high dimensional problems ⋮ Gaussian fluctuations for linear spectral statistics of Wigner beta ensembles ⋮ Central limit theorem for linear spectral statistics of large dimensional quaternion sample covariance matrices

Cites Work

• A CLT for a band matrix model
• Regularized estimation of large covariance matrices
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