Edge universality of correlation matrices

Annals of Statistics

Volumn 40, Issue 3, 2012, Pages 1737-1763

  Pillai, Natesh S ^a   Yin, Jun ^b  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Correlation matrix; Covariance matrix; Marcenko Pastur law; Universality

Indexed keywords

EID: 84872085835     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AOS1022     Document Type: Article

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