The Annals of Statistics · 2018 · 42 citations · 30 references
Natural SciencesBiostatisticsPopulation GeneticsSpatial StatisticsStatisticsInferential StatisticsLimit TheoremsStatistical InferenceAsymptotic NormalityCentral Limit TheoremsElliptical DistributionsRandom Matrix Theory
This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among their coordinates, which have great impact on the asymptotic behaviors of linear spectral statistics. Taking such kind of dependency into consideration, we establish a new central limit theorem for the linear spectral statistics in this paper for a class of elliptical populations. This general theoretical result has wide applications and, as an example, it is then applied to test the sphericity of elliptical populations.
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Empirical properties of asset returns: stylized facts and statistical issues
Rama Cont · Quantitative Finance · 2001 · 3.2K citations