High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
DOI10.1142/s201032632250006xzbMath1526.60030arXiv2011.01199MaRDI QIDQ6063732
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Publication date: 8 November 2023
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.01199
functional limit theoremsMalliavin calculusnon-stationaritysemicircular distributionWishart matricesself-similar Gaussian processesempirical spectral distributionshigh-dimensional regime
Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Random matrices (probabilistic aspects) (60B20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
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