Gao, Jiti; Han, Xiao; Pan, Guangming; Yang, Yanrong - Department of Econometrics and Business Statistics, … - 2014
Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by this, this paper establishes a new central limit theorem (CLT) for a linear spectral statistic (LSS) of high dimensional sample correlation matrices for the case where the...