Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices

DOI10.1214/22-AAP1802OpenAlexW4311549224MaRDI QIDQ2108908

Yanyuan Ma, Yanqing Yin

Publication date: 20 December 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/22-aap1802

zbMATH Keywords

eigenvectoreigenvalue distributionrandom matrix theoryHaar distributionhigh dimension correlation matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20)

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