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High dimensional correlation matrices: the central limit theorem and its applications

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  • Jiti Gao
  • Xiao Han
  • Guangming Pan
  • Yanrong Yang

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  • Jiti Gao & Xiao Han & Guangming Pan & Yanrong Yang, 2017. "High dimensional correlation matrices: the central limit theorem and its applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 677-693, June.
  • Handle: RePEc:bla:jorssb:v:79:y:2017:i:3:p:677-693
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    File URL: http://hdl.handle.net/10.1111/rssb.12189
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    References listed on IDEAS

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    1. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    2. James R. Schott, 2005. "Testing for complete independence in high dimensions," Biometrika, Biometrika Trust, vol. 92(4), pages 951-956, December.
    3. Guangming Pan & Jiti Gao & Yanrong Yang, 2014. "Testing Independence Among a Large Number of High-Dimensional Random Vectors," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 600-612, June.
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    1. repec:eee:stapro:v:138:y:2018:i:c:p:57-65 is not listed on IDEAS

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