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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.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…