Michael Fleermann

activity

20192025

most citedLarge Sample Covariance Matrices of Gaussian Observations with Uniform Correlation Decay

1 citations · 1 across the 2 of their papers we have counts for

collaborators

3 papers

math.ST2025

Ties, Tails and Spectra: On Rank-Based Dependency Measures in High Dimensions

Nina Dörnemann, Michael Fleermann, Johannes Heiny

This work is concerned with the limiting spectral distribution of rank-based dependency measures in high dimensions. We provide distribution-free results for multivariate empirical…

math.PR2022★ 1 cited

Large Sample Covariance Matrices of Gaussian Observations with Uniform Correlation Decay

Michael Fleermann, Johannes Heiny

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_{n} = \frac{1}{n} X X^{T}$ , where $X$ is a $p \times n$ data matrix and $p / n \to y \in (0, \infty)$ as $n,p…

math.PR2019

High-dimensional sample covariance matrices with Curie-Weiss entries

Michael Fleermann, Johannes Heiny

We study the limiting spectral distribution of sample covariance matrices $X X^{T}$ , where $X$ are $p \times n$ random matrices with correlated entries, for the cases $p/n\to y\in [0,\…