Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices

DOI10.3150/20-BEJ1237zbMath1475.60014arXiv1808.05362MaRDI QIDQ2214247

Zhi-Dong Bai, Dandan Jiang

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05362

zbMATH Keywords

random matrix theoryspiked modelcentral limit theorem (CLT)high-dimensional covariance matrixgeneralized four moment theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20)

Related Items

RDS free CLT for spiked eigenvalues of high-dimensional covariance matrices, Ridgelized Hotelling’s T² test on mean vectors of large dimension, A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications, A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes, Partial generalized four moment theorem revisited, The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications, Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices, CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures

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