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math.ST2022
Spiked eigenvalues of high-dimensional sample autocovariance matrices: CLT and applications
Daning Bi, Xiao Han, Adam Nie +1
High-dimensional autocovariance matrices play an important role in dimension reduction for high-dimensional time series. In this article, we establish the central limit theorem (CL…
math.ST2019★ 7 cited
Asymptotic Theory of Eigenvectors for Random Matrices with Diverging Spikes
Jianqing Fan, Yingying Fan, Xiao Han +1
Characterizing the asymptotic distributions of eigenvectors for large random matrices poses important challenges yet can provide useful insights into a range of statistical applica…