High Dimensional Correlation Matrices:CLT and Its Applications

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：cyw87325

【摘要】

：

【作者】

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Jiti Gao Xiao Han Guangming Pan Yanrong Yang

【机构】

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Department of Econometrics and Business Statistics,Monash University,VIC 3145,Australia

【出处】

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上海交通大学

【发表日期】

：

2016年4期

【关键词】

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Central limit theorem equivalence test high dimensional correlation matrix indep

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　　Statistical inferences for sample correlation matrices are important in high dimensional data analysis.Motivated by this,this paper establishes a new central limit theorem(CLT)for a linear spectral statistic(LSS)of high dimensional sample correlation matrices for the case where the dimension p and the sample size n are comparable.

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High Dimensional Correlation Matrices:CLT and Its Applications

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