Limiting behavior of large correlated Wishart matrices with chaotic entries

DOI10.3150/20-BEJ1266zbMath1480.60008arXiv2008.02120OpenAlexW3154499066MaRDI QIDQ2040053

Solesne Bourguin, Ciprian A. Tudor, Charles-Philippe Diez

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.02120

zbMATH Keywords

fractional Brownian motionMalliavin calculusStein's methodRosenblatt processWishart matrixmultiple stochastic integralshigh-dimensional regime

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices ⋮ High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation ⋮ Spherical Poisson waves ⋮ Asymptotic normality for a modified quadratic variation of the Hermite process ⋮ Unnamed Item ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Gaussian fluctuation for Gaussian Wishart matrices of overall correlation

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