题名 | ASYMPTOTIC NORMALITY FOR EIGENVALUE STATISTICS OF A GENERAL SAMPLE COVARIANCE MATRIX WHEN p/n? 8 AND APPLICATIONS |
作者 | |
通讯作者 | Li, Zeng |
发表日期 | 2023-06-01
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DOI | |
发表期刊 | |
ISSN | 0090-5364
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卷号 | 51期号:3 |
摘要 | The asymptotic normality for a large family of eigenvalue statistics of a general sample covariance matrix is derived under the ultrahigh-dimensional setting, that is, when the dimension to sample size ratio p/n & RARR; & INFIN;. Based on this CLT result, we extend the covariance matrix test problem to the new ultra-high-dimensional context, and apply it to test a matrix-valued white noise. Simulation experiments are conducted for the investigation of finite-sample properties of the general asymptotic normality of eigenvalue statistics, as well as the two developed tests. |
关键词 | |
相关链接 | [来源记录] |
收录类别 | |
语种 | 英语
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学校署名 | 通讯
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资助项目 | NSFC (National Natural Science Founda-tion of China)[12031005]
; NSFC[JCYJ20220818100602005]
; null[12101292]
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WOS研究方向 | Mathematics
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WOS类目 | Statistics & Probability
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WOS记录号 | WOS:001055382500019
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出版者 | |
ESI学科分类 | MATHEMATICS
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来源库 | Web of Science
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引用统计 |
被引频次[WOS]:1
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成果类型 | 期刊论文 |
条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/559337 |
专题 | 理学院_统计与数据科学系 |
作者单位 | 1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Peoples R China 2.Southern Univ Sci & Technol, Dept Stat & Data Sci, Shenzhen, Peoples R China 3.Chinese Univ Hong Kong Shenzhen, Sch Data Sci, Shenzhen, Peoples R China |
通讯作者单位 | 统计与数据科学系 |
推荐引用方式 GB/T 7714 |
Qiu, Jiaxin,Li, Zeng,Yao, Jianfeng. ASYMPTOTIC NORMALITY FOR EIGENVALUE STATISTICS OF A GENERAL SAMPLE COVARIANCE MATRIX WHEN p/n? 8 AND APPLICATIONS[J]. ANNALS OF STATISTICS,2023,51(3).
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APA |
Qiu, Jiaxin,Li, Zeng,&Yao, Jianfeng.(2023).ASYMPTOTIC NORMALITY FOR EIGENVALUE STATISTICS OF A GENERAL SAMPLE COVARIANCE MATRIX WHEN p/n? 8 AND APPLICATIONS.ANNALS OF STATISTICS,51(3).
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MLA |
Qiu, Jiaxin,et al."ASYMPTOTIC NORMALITY FOR EIGENVALUE STATISTICS OF A GENERAL SAMPLE COVARIANCE MATRIX WHEN p/n? 8 AND APPLICATIONS".ANNALS OF STATISTICS 51.3(2023).
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条目包含的文件 | ||||||
文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
2023-AOS-Ultrahigh.p(397KB) | -- | -- | 限制开放 | -- |
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