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Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage

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  • Steland, Ansgar
  • von Sachs, Rainer

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  • Steland, Ansgar & von Sachs, Rainer, 2018. "Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage," LIDAM Reprints ISBA 2018020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Handle: RePEc:aiz:louvar:2018020
    Note: In : Stochastic Processes and their Applications, vol. 128, no. 8, p. 2816-2855 (2018)
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    Cited by:

    1. Steland, Ansgar, 2020. "Testing and estimating change-points in the covariance matrix of a high-dimensional time series," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
    2. Monika Bours & Ansgar Steland, 2021. "Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 610-654, June.

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