3 citations · 4 across the 3 of their papers we have counts for
3 papers
math.PR2023
Asymptotic independence of point process and Frobenius norm of a large sample covariance matrix
Johannes Heiny, Carolin Kleemann
A joint limit theorem for the point process of the off-diagonal entries of a sample covariance matrix , constructed from observations of a -dimensional random ve…
math.PR2022★ 3 cited
Limiting spectral distribution for large sample correlation matrices
Nina Dörnemann, Johannes Heiny
In this paper, we consider the empirical spectral distribution of the sample correlation matrix and investigate its asymptotic behavior under mild assumptions on the data's distrib…
math.PR2016★ 1 cited
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
Johannes Heiny, Thomas Mikosch
In this paper we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a -dimensional time series with iid entries when co…