scholarly journals On a model selection problem from high-dimensional sample covariance matrices

2011 ◽  
Vol 102 (10) ◽  
pp. 1388-1398 ◽  
Author(s):  
J. Chen ◽  
B. Delyon ◽  
J.-F. Yao
2021 ◽  
Vol 2021 ◽  
pp. 1-8
Author(s):  
Xue Ding

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.


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