ENGLISH

Large sample covariance matrices and high-dimensional data analysis

By Bai , Zhidong; Yao , Jianfeng; Zheng , Shurong

Book information

Publisher
Cambridge U.P.
Year
2015
ISBN
9781107065178, 1107065178
Language
english
Format
PDF
Filesize
4 MB (3861129 bytes)
Series
Cambridge series in statistical and probabilistic mathematics
Pages
308\322
Time added
2019-05-29 18:14:18

Description

1. Introduction 2. Limiting spectral distributions 3. CLT for linear spectral statistics 4. The generalised variance and multiple correlation coefficient 5. The T2-statistic 6. Classification of data 7. Testing the general linear hypothesis 8. Testing independence of sets of variates 9. Testing hypotheses of equality of covariance matrices 10. Estimation of the population spectral distribution 11. Large-dimensional spiked population models 12. Efficient optimisation of a large financial portfolio.

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