Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

30 January 2020

Papers citing "Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices"

6 / 6 papers shown

Title
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case Johannes Heiny T. Mikosch 59 24 0 24 Aug 2016
The bootstrap, covariance matrices and PCA in moderate and high-dimensions N. Karoui E. Purdom 86 16 0 02 Aug 2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series Richard A. Davis Johannes Heiny T. Mikosch Xiao-Yi Xie 45 15 0 26 Apr 2016
Tracy-Widom law for the extreme eigenvalues of sample correlation matrices Z. Bao G. Pan Wang Zhou 74 53 0 24 Oct 2011
Limit Theory for the largest eigenvalues of sample covariance matrices with heavy-tails Richard A. Davis Oliver Pfaffel R. Stelzer 101 37 0 27 Aug 2011
$Covariance estimation for distributions with $2+\varepsilon$ moments$ Covariance estimation for distributions with $2+\varepsilon$ moments N. Srivastava Roman Vershynin 102 118 0 14 Jun 2011