Large sample covariance matrices and high-dimensional data analysis

✍ Scribed by Bai, Zhidong; Yao, Jianfeng; Zheng, Shurong

Publisher: Cambridge U.P.
Year: 2015
Tongue: English
Leaves: 322
Series: Cambridge series in statistical and probabilistic mathematics
Category: Library

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✦ Table of Contents

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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