42 citations · 65 across the 12 of their papers we have counts for
7 papers · 1 filter
On Eigenvector Statistics of Large-Dimensional Sample Covariance Matrices with Applications
Weiming Li, Zeng Li, Qinwen Wang
We study the eigenvector-weighted spectral statistics \[ T_n(φ,g)=p^{-1}tr\{φ(\boldsymbol{S}_n)g(\boldsymbolΣ)\} \] of large-dimensional sample covariance matrices \(\boldsymbol{S}…
On singular values of large dimensional lag-tau sample autocorrelation matrices
Zhanting Long, Zeng Li, Ruitao Lin
We study the limiting behavior of singular values of a lag- sample auto-correlation matrix of error term in the high-dimensional factor model. We establish the…
On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
Zeng Li, Cheng Wang, Qinwen Wang
This paper investigates limiting spectral distribution of a high-dimensional Kendall's rank correlation matrix. The underlying population is allowed to have general dependence stru…
Central Limit Theorem for Linear Spectral Statistics of Large Dimensional Kendall's Rank Correlation Matrices and its Applications
Zeng Li, Qinwen Wang, Runze Li
This paper is concerned with the limiting spectral behaviors of large dimensional Kendall's rank correlation matrices generated by samples with independent and continuous component…
Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model
Zeng Li, Fang Han, Jianfeng Yao
This paper studies the joint limiting behavior of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, where the asymptotic reg…
On testing for high-dimensional white noise
Zeng Li, Clifford Lam, Jianfeng Yao +1
Testing for white noise is a classical yet important problem in statistics, especially for diagnostic checks in time series modeling and linear regression. For high-dimensional tim…
Joint CLT for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application
Weiming Li, Zeng Li, Jianfeng Yao
Let be a data matrix with complex-valued, independent and standardized entries satisfying a Lindeberg-type moment condition. We consider simult…