Large sample correlation matrices: a comparison theorem and its applications

DOI10.1214/22-EJP817zbMath1498.60033arXiv2201.00916OpenAlexW4287988122MaRDI QIDQ2082651

Publication date: 4 October 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.00916

zbMATH Keywords

largest eigenvalue smallest eigenvalue limiting spectral distribution sample correlation matrix population covariance matrix

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Random measures (60G57)

Related Items (1)

Logarithmic law of large random correlation matrices

Cites Work

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