Linear spectral statistics of sequential sample covariance matrices

Hypothesis testing in multivariate analysis (62H15) Random matrices (probabilistic aspects) (60B20) Functional limit theorems; invariance principles (60F17)

Cites Work

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A new test for sphericity of the covariance matrix for high dimensional data
Gaussian fluctuations for linear spectral statistics of large random covariance matrices
On the sphericity test with large-dimensional observations
Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
CLT for eigenvalue statistics of large-dimensional general Fisher matrices with applications
Central limit theorem for linear spectral statistics of large dimensional quaternion sample covariance matrices
Central limit theorem for linear eigenvalue statistics of the Wigner and the sample covariance random matrices
Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
Spectral analysis of large dimensional random matrices
Corrections to LRT on large-dimensional covariance matrix by RMT
Break detection in the covariance structure of multivariate time series models
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Determinants of block Hankel matrices for random matrix-valued measures
Testing for independence of large dimensional vectors
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Limiting spectral distribution of a symmetrized auto-cross covariance matrix
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Spectra of overlapping Wishart matrices and the Gaussian free field
A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Tests for High-Dimensional Covariance Matrices

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