Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing

Annals of Statistics

Volumn 43, Issue 2, 2015, Pages 546-591

  Zheng, Shurong ^a   Bai, Zhidong ^a   Yao, Jianfeng ^b  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

CLT for linear spectral statistics; High dimensional data; High dimensional sample covariance matrix; Large Fisher matrix; Substitution principle; Testing on high dimensional covariance matrix; Unbiased sample covariance matrix

Indexed keywords

EID: 84924959589     PISSN: 00905364     EISSN: 21688966     Source Type: Journal    
DOI: 10.1214/14-AOS1292     Document Type: Article

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