High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
高维相关矩阵：中心极限定理及其应用
Summary Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by this, the paper establishes a new central limit theorem for a linear spectral statistic of high dimensional sample correlation matrices for the case where the dimension p and the sample size n are comparable. This result is of independent interest in large dimensional random-matrix theory. We also further investigate the sample correlation matrices of…