Fluctuations of the diagonal entries of a large sample precision matrix

DOI10.1016/j.spl.2023.109838zbMath1524.62241arXiv2211.00474OpenAlexW4324044998MaRDI QIDQ6110092

Dette, Holger, Nina Dörnemann

Publication date: 4 July 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.00474

zbMATH Keywords

central limit theoremhigh-dimensional statisticssample precision matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• On fluctuations of matrix entries of regular functions of Wigner matrices with non-identically distributed entries
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• Fluctuations of matrix entries of regular functions of Wigner matrices
• Fluctuations of matrix elements of regular functions of Gaussian random matrices
• Convergence to the semicircle law
• Some limit theorems for the eigenvalues of a sample covariance matrix
• On the distribution of the largest eigenvalue in principal components analysis
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• The logarithmic law of sample covariance matrices near singularity
• Eigenvalues of large sample covariance matrices of spiked population models
• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Fluctuations of Matrix Entries of Regular Functions of Sample Covariance Random Matrices
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

This page was built for publication: Fluctuations of the diagonal entries of a large sample precision matrix