On the singular value distribution of large-dimensional data matrices whose columns have different correlations

DOI10.1080/02331888.2020.1720021zbMath1435.15026arXiv1802.01245OpenAlexW3006282859MaRDI QIDQ5222211

Yanqing Yin

Publication date: 1 April 2020

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.01245

zbMATH Keywords

random matrix theorysample covariance matrixhigh-dimensional statisticsdata matrix

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)

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