J. Heiny

activity

20162026

most citedAlmost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

24 citations · 34 across the 11 of their papers we have counts for

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Showing 2022Show all

2 papers · 1 filter

math.PR2022★ 1 cited

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.PR2022

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 $n$ independent observations of a $p$ -dimensional time series with finite four…