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Limit Properties of the Largest Entries of High-Dimensional Sample Covariance and Correlation Matrices
- Source :
- Mathematical Problems in Engineering, Vol 2021 (2021)
- Publication Year :
- 2021
- Publisher :
- Hindawi Limited, 2021.
-
Abstract
- In this paper, we consider the limit properties of the largest entries of sample covariance matrices and the sample correlation matrices. In order to make the statistics based on the largest entries of the sample covariance matrices and the sample correlation matrices more applicable in high-dimensional tests, the identically distributed assumption of population is removed. Under some moment’s assumption of the underlying distribution, we obtain that the almost surely limit and asymptotical distribution of the extreme statistics as both the dimension p and sample size n tend to infinity.
- Subjects :
- Independent and identically distributed random variables
education.field_of_study
Article Subject
General Mathematics
Population
MathematicsofComputing_GENERAL
General Engineering
Sample (statistics)
Engineering (General). Civil engineering (General)
Moment (mathematics)
Distribution (mathematics)
Sample size determination
QA1-939
Applied mathematics
Almost surely
Limit (mathematics)
TA1-2040
education
Mathematics
Subjects
Details
- ISSN :
- 15635147 and 1024123X
- Volume :
- 2021
- Database :
- OpenAIRE
- Journal :
- Mathematical Problems in Engineering
- Accession number :
- edsair.doi.dedup.....b0a53b33d1053b2cf2b1a6d17932703b