3 papers
math.ST2026
Non-Gaussian fluctuations for traces of squared sample correlation matrices in high dimensions
Johannes Heiny, Xuechun Hu, Felix Seo
We provide limit theory for the trace of the squared sample correlation matrix , constructed from observations of a -dimensional random vector with iid components…
math.PR2026
Maximum of sparsely equicorrelated Gaussian fields and applications
Johannes Heiny, Tiefeng Jiang, Tuan Pham +1
We investigate the extreme values of a sparse and equicorrelated Gaussian field on a triangle: the correlations on every vertical or horizontal line are all equal to a parameter $r…
math.ST2025
Ties, Tails and Spectra: On Rank-Based Dependency Measures in High Dimensions
Nina Dörnemann, Nina Dörnemann, Michael Fleermann +1
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…