• 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