Michael Fleermann

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

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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,\…