Separable sample covariance matrices under elliptical populations with applications
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- by Huiqin Li, Guangming Pan, Yanqing Yin and Wang Zhou
- Trans. Amer. Math. Soc.
- DOI: https://doi.org/10.1090/tran/9070
- Published electronically: April 11, 2024
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Abstract:
This paper is to investigate the spectral properties of separable covariance matrices under elliptical populations. The separable covariance matrix model can handle both cross-row and cross-column correlations thus gain more popularity recently. Under the high-dimensional setting where the dimension $p$ and the sample size $n$ tend to infinity proportionally, we find the limit of the empirical spectral distribution and establish the central limit theorems (CLT) for linear spectral statistics of such kinds of sample covariance matrices. Some applications of our established CLT are also given.References
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Bibliographic Information
- Huiqin Li
- Affiliation: School of Mathematics and Statistics, Chongqing University, Chongqing, People’s Republic of China
- Email: lihq118@nenu.edu.cn
- Guangming Pan
- Affiliation: Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore 637371, Singapore
- MR Author ID: 710430
- Email: gmpan@ntu.edu.sg
- Yanqing Yin
- Affiliation: School of Mathematics and Statistics, Chongqing University, Chongqing, People’s Republic of China
- MR Author ID: 1058751
- Email: yinyq@cqu.edu.cn
- Wang Zhou
- Affiliation: Department of Statistics and Data Science, National University of Singapore, 6 Science Drive 2, 117546 Singapore, Singapore
- MR Author ID: 667459
- Email: wangzhou@nus.edu.sg
- Received by editor(s): September 16, 2021
- Received by editor(s) in revised form: October 5, 2022, October 5, 2022, and April 25, 2023
- Published electronically: April 11, 2024
- Additional Notes: The first and third authors were partially supported by NSFC grant 12271065. The second author was partially supported by MOE Tier grant 2018-T2-2-112 and by a MOE Tier 1 grant RG133/18 at Nanyang Technological University. The fourth author was partially supported by a grant A-8000440-00-00 at the National University of Singapore.
- © Copyright 2024 American Mathematical Society
- Journal: Trans. Amer. Math. Soc.
- MSC (2020): Primary 60F05; Secondary 60H10
- DOI: https://doi.org/10.1090/tran/9070