The logarithmic law of sample covariance matrices near singularity

DOI10.3150/16-BEJ867zbMath1430.60035MaRDI QIDQ2405176

Guangming Pan, Xiao Han, Xue-jun Wang

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1501142437

zbMATH Keywords

covariance matrixcentral limit theoremdeterminantlogarithmic law

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

Related Items (6)

The volume of random simplices from elliptical distributions in high dimension ⋮ Fluctuations of the diagonal entries of a large sample precision matrix ⋮ Logarithmic law of large random correlation matrices ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Thin-shell theory for rotationally invariant random simplices ⋮ Likelihood ratio tests under model misspecification in high dimensions

This page was built for publication: The logarithmic law of sample covariance matrices near singularity