High-Dimensional CLTs for Individual Mahalanobis Distances

DOI10.1007/978-3-319-73241-1_4zbMath1397.62194OpenAlexW261949461MaRDI QIDQ4689248

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Publication date: 15 October 2018

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://static.sys.kth.se/itm/wp/cesis/cesiswp361.pdf

zbMATH Keywords

outliersweak convergenceMahalanobis distanceincreasing dimensionMarchenko-Pastur distributionPearson family distributions

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Cites Work

• Spectral analysis of large dimensional random matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Multivariate statistical analysis. A high-dimensional approach
• On feature selection, curse-of-dimensionality and error probability in discriminant analysis
• On asymptotics of eigenvectors of large sample covariance matrix
• A note on testing the covariance matrix for large dimension
• Statistical Inference for High-Dimensional Global Minimum Variance Portfolios
• Stochastic Limit Theory
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