Logarithmic law of large random correlation matrices

DOI10.3150/23-bej1600arXiv2103.13900MaRDI QIDQ6178564

Nestor Parolya, Johannes Heiny, Dorota Kurowicka

Publication date: 16 January 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.13900

zbMATH Keywords

random matrix theory dependent data sample correlation matrix CLT log determinant large-dimensional asymptotic

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Limit theorems in probability theory (60Fxx) Probability theory on algebraic and topological structures (60Bxx)

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