The middle-scale asymptotics of Wishart matrices

DOI10.1214/18-AOS1760zbMath1436.60019arXiv1705.03510MaRDI QIDQ2328054

Didier Chételat, Martin T. Wells

Publication date: 9 October 2019

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

Full work available at URL: https://arxiv.org/abs/1705.03510

zbMATH Keywords

phase transitionscovariance estimationGaussian orthogonal ensemblehigh-dimensional asymptoticsrandom matric theory

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Characteristic functions; other transforms (60E10) Random matrices (algebraic aspects) (15B52) Convergence of probability measures (60B10)

Related Items (4)

High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices ⋮ Phase transition in noisy high-dimensional random geometric graphs ⋮ Threshold for detecting high dimensional geometry in anisotropic random geometric graphs ⋮ Phase transitions for detecting latent geometry in random graphs

Cites Work

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• General moments of the inverse real Wishart distribution and orthogonal Weingarten functions
• A recursion formula for the moments of the Gaussian orthogonal ensemble
• Approximation of rectangular beta-Laguerre ensembles and large deviations
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• Testing for high-dimensional geometry in random graphs
• An Introduction to Random Matrices
• Entropic CLT and Phase Transition in High-dimensional Wishart Matrices
• All Invariant Moments of the Wishart Distribution
• XX.—On the Theory of Statistical Regression

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