Large sample covariance matrices without independence structures in columns

被引：3

作者：

Bai, Zhidong ^{[1
,2
]}

Zhou, Wang ^{[2
]}

机构：

[1] NE Normal Univ, Sch Math & Stat, Changchun 130024, Peoples R China

[2] Natl Univ Singapore, Dept Stat & Appl Probabil, Singapore 117546, Singapore

来源：

STATISTICA SINICA | 2008年 / 18卷 / 02期

关键词：

AR(1) model; finite population; limiting spectral distribution; random matrix theory; sample correlation matrices; sample covariance matrices; Spearman's rank correlation matrices;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The limiting spectral distribution of large sample covariance matrices is derived under dependence conditions. As applications, we obtain the limiting spectral distributions of Spearman's rank correlation matrices, sample correlation matrices, sample covariance matrices from finite populations, and sample covariance matrices from causal AR(1) models.

引用

页码：425 / 442

页数：18

共 17 条

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