Title of article :
Random matrix theory in statistics: A review
Author/Authors :
Paul، نويسنده , , Debashis and Aue، نويسنده , , Alexander، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
We give an overview of random matrix theory (RMT) with the objective of highlighting the results and concepts that have a growing impact in the formulation and inference of statistical models and methodologies. This paper focuses on a number of application areas especially within the field of high-dimensional statistics and describes how the development of the theory and practice in high-dimensional statistical inference has been influenced by the corresponding developments in the field of RMT.
Keywords :
MANOVA , Stieltjes transform , Wishart matrix , Mar?enko–Pastur law , Tracy–Widom law , Principal component analysis
Journal title :
Journal of Statistical Planning and Inference
Journal title :
Journal of Statistical Planning and Inference