题目：Statistics of Large Dimensional Sample Correlation Matrices

报告人：郑术蓉 教授 （东北师范大学）

地点：腾讯会议室

时间：2021年11月19日（星期五） 19:30-21:00

摘要：Under the high-dimensional setting that the dimension tends to infinity proportionally with the sample size, we establish the central limit theorems (CLT)  for linear spectral statistics (LSS) of sample correlation matrices under two settings:

(1) The population follows an independent component structure;

(2) The population follows an elliptical structure. It shows that the CLTs of LSS of sample correlation matrices are very different under the two settings.

Especially, even if the population correlation matrix is an identity matrix, the CLTs are different under the two settings. An application of our established two CLTs is given.

腾讯会议：ID：868 561 969   密码：926619

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