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- W4287988122 abstract "In this paper, we show that the diagonal of a high-dimensional sample covariance matrix stemming from n independent observations of a p-dimensional time series with finite fourth moments can be approximated in spectral norm by the diagonal of the population covariance matrix. We assume that n,p→∞ with p∕n tending to a constant which might be positive or zero. As applications, we provide an approximation of the sample correlation matrix R and derive a variety of results for its eigenvalues. We identify the limiting spectral distribution of R and construct an estimator for the population correlation matrix and its eigenvalues. Finally, the almost sure limits of the extreme eigenvalues of R in a generalized spiked correlation model are analyzed." @default.
- W4287988122 created "2022-07-26" @default.
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- W4287988122 date "2022-01-01" @default.
- W4287988122 modified "2023-09-30" @default.
- W4287988122 title "Large sample correlation matrices: a comparison theorem and its applications" @default.
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- W4287988122 doi "https://doi.org/10.1214/22-ejp817" @default.
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