24 citations · 34 across the 6 of their papers we have counts for
8 papers · 1 filter
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 , where is a data matrix and as $n,p…
Large sample correlation matrices: a comparison theorem and its applications
Johannes Heiny
In this paper, we show that the diagonal of a high-dimensional sample covariance matrix stemming from independent observations of a -dimensional time series with finite four…
Thin-shell theory for rotationally invariant random simplices
Johannes Heiny, Samuel Johnston, Joscha Prochno
For fixed functions , consider the rotationally invariant probability density on of the form \[ μ^n(ds) = \frac{1}{Z_n} G(\|s\|_2)\, e^{…
Point process convergence for the off-diagonal entries of sample covariance matrices
Johannes Heiny, Thomas Mikosch, Jorge Yslas
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of th…
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Johannes Heiny, Thomas Mikosch
In this paper, we show that the largest and smallest eigenvalues of a sample correlation matrix stemming from independent observations of a -dimensional time series with iid…
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Johannes Heiny, Thomas Mikosch
We consider a -dimensional time series where the dimension increases with the sample size . The resulting data matrix follows a stochastic volatility model: each entr…