A supplement on CLT for LSS under a large dimensional generalized spiked covariance model

DOI10.1016/j.spl.2018.02.061zbMath1463.62213OpenAlexW2797205986MaRDI QIDQ1642248

Boping Tian, Jiaqi Chen, Yangchun Zhang, Wei-Ming Li

Publication date: 20 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.061

zbMATH Keywords

large covariance matrixsphericity testgeneralized spiked modellinear spectral statistic

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

A Cholesky-based estimation for large-dimensional covariance matrices ⋮ Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum

Cites Work

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• On Estimation of the Noise Variance in High Dimensional Probabilistic Principal Component Analysis
• High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

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