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Title: Large sample covariance matrices without independence structures in columns
Authors: Bai, Z. 
Zhou, W. 
Keywords: AR(1) model
Finite population
Limiting spectral distribution
Random matrix theory
Sample correlation matrices
Sample covariance matrices
Spearman's rank correlation matrices
Issue Date: Apr-2008
Citation: Bai, Z.,Zhou, W. (2008-04). Large sample covariance matrices without independence structures in columns. Statistica Sinica 18 (2) : 425-442. ScholarBank@NUS Repository.
Abstract: The limiting spectral distribution of large sample covariance matrices is derived under dependence conditions. As applications, we obtain the limiting spectral distributions of Spearman's rank correlation matrices, sample correlation matrices, sample covariance matrices from finite populations, and sample covariance matrices from causal AR(1) models.
Source Title: Statistica Sinica
ISSN: 10170405
Appears in Collections:Staff Publications

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