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
Pages
29
From page
1
To page
29
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
Serial Year
2014
Journal title
Journal of Statistical Planning and Inference
Record number
2222648
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