Search: WFRF:(Mazur Stepan 1988 ) >
Central limit theor...
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
-
- Bodnar, Taras (author)
- Stockholms universitet,Matematiska institutionen
-
- Mazur, Stepan, 1988- (author)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Department of Statistics
-
- Parolya, Nestor (author)
- Institute of Statistics, Leibniz University of Hannover, Hannover, Germany
-
(creator_code:org_t)
- 2019-02-18
- 2019
- English.
-
In: Scandinavian Journal of Statistics. - : John Wiley & Sons. - 0303-6898 .- 1467-9469. ; 46:2, s. 636-660
- Related links:
-
http://arxiv.org/pdf...
-
show more...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
https://urn.kb.se/re...
-
show less...
Abstract
Subject headings
Close
- In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for the product of the sample covariance matrix and the sample mean vector. Moreover, we consider the product of the inverse sample covariance matrix and the mean vector for which the central limit theorem is established as well. All results are obtained under the large-dimensional asymptotic regime where the dimension p and the sample size n approach to infinity such that p/n → c ∈ [0, +∞) when the sample covariance matrix does not need to be invertible and p/n → c ∈ [0, 1) otherwise.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- Normal mixtures
- skew normal distribution
- large dimensional asymptotics
- stochas- tic representation
- random matrix theory
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
To the university's database