The Empirical Distribution of a Large Number of Correlated Normal Variables

DOI10.1080/01621459.2014.958156zbMath1373.62222OpenAlexW2122135230WikidataQ38263925 ScholiaQ38263925MaRDI QIDQ5367435

David Azriel, Armin Schwartzman

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc4742377

zbMATH Keywords

asymptotic approximationfactor analysishigh-dimensional datadependent random variablesempirical nullstrong correlationempirical cumulative distribution function (ecdf)

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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