Asymptotic behavior of large Gaussian correlated Wishart matrices

DOI10.1007/s10959-021-01133-1zbMath1502.60008arXiv1804.06220OpenAlexW2796994438MaRDI QIDQ2099996

Ivan Nourdin, Guangqu Zheng

Publication date: 21 November 2022

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

Full work available at URL: https://arxiv.org/abs/1804.06220

zbMATH Keywords

Malliavin calculusStein's methodhigh-dimensional regimeRosenblatt-Wishart matrix

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

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, Threshold for detecting high dimensional geometry in anisotropic random geometric graphs

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