Tracy-Widom law for the extreme eigenvalues of sample correlation
matrices

v1v2 (latest)

Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

24 October 2011

ArXiv (abs)PDF HTML

Papers citing "Tracy-Widom law for the extreme eigenvalues of sample correlation matrices"

10 / 10 papers shown

Title
Extreme eigenvalues of Log-concave Ensemble Z. Bao Xiao‐Chuan Xu 77 1 0 22 Dec 2022
Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations Johannes Heiny Jianfeng Yao 66 15 0 08 Mar 2020
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices Johannes Heiny T. Mikosch 62 22 0 30 Jan 2020
Central Limit Theorem for Linear Spectral Statistics of Large Dimensional Kendall's Rank Correlation Matrices and its Applications Zeng Li Qinwen Wang Runze Li 76 13 0 13 Dec 2019
High dimensional consistent independence testing with maxima of rank correlations Mathias Drton Fang Han Hongjian Shi 87 43 0 14 Dec 2018
Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models D. Morales-Jiménez Iain M. Johnstone M. Mckay Jeha Yang 88 30 0 24 Oct 2018
Spectral statistics of large dimensional Spearman's rank correlation matrix and its application Z. Bao Liang-Ching Lin G. Pan Wang Zhou 111 27 0 18 Dec 2013
Universality for the largest eigenvalue of sample covariance matrices with general population Z. Bao G. Pan Wang Zhou 191 101 0 21 Apr 2013
Edge universality of correlation matrices Natesh S. Pillai J. Yin 123 49 0 11 Dec 2011
Universality of covariance matrices Natesh S. Pillai J. Yin 180 167 0 11 Oct 2011