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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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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. James R. Schott, 2005. "Testing for complete independence in high dimensions," Biometrika, Biometrika Trust, vol. 92(4), pages 951-956, December.
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    2. Fan, Qingliang & Wu, Ruike & Yang, Yanrong & Zhong, Wei, 2024. "Time-varying minimum variance portfolio," Journal of Econometrics, Elsevier, vol. 239(2).
    3. Yang, Xinxin & Zheng, Xinghua & Chen, Jiaqi, 2021. "Testing high-dimensional covariance matrices under the elliptical distribution and beyond," Journal of Econometrics, Elsevier, vol. 221(2), pages 409-423.
    4. Dörnemann, Nina, 2023. "Likelihood ratio tests under model misspecification in high dimensions," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    5. Li, Yanpeng, 2025. "Large sample correlation matrices with unbounded spectrum," Journal of Multivariate Analysis, Elsevier, vol. 205(C).
    6. Chen, Jiaqi & Zhang, Yangchun & Li, Weiming & Tian, Boping, 2018. "A supplement on CLT for LSS under a large dimensional generalized spiked covariance model," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 57-65.
    7. He, Yi & Jaidee, Sombut & Gao, Jiti, 2023. "Most powerful test against a sequence of high dimensional local alternatives," Journal of Econometrics, Elsevier, vol. 234(1), pages 151-177.
    8. Xu, Kai & Cheng, Qing & He, Daojiang, 2025. "On summed nonparametric dependence measures in high dimensions, fixed or large samples," Computational Statistics & Data Analysis, Elsevier, vol. 205(C).

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