Gaussian fluctuation for Gaussian Wishart matrices of overall correlation

DOI10.1016/j.spl.2021.109269zbMath1481.60012arXiv2103.16630OpenAlexW3207163823MaRDI QIDQ2070636

Fei Pu, Ivan Nourdin

Publication date: 24 January 2022

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

Full work available at URL: https://arxiv.org/abs/2103.16630

zbMATH Keywords

Malliavin calculusStein's methodhigh-dimensional regimeWishart matrices/tensors

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Random matrices (probabilistic aspects) (60B20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Anti-concentration of polynomials: dimension-free covariance bounds and decay of Fourier coefficients ⋮ High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation

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