Large Sample Covariance Matrices and High-Dimensional Data Analysis (Cambridge Series in Statistical and Probabilistic Mathematics, #39)

by Jianfeng Yao, Shurong Zheng, and Zhidong Bai

0 ratings • 0 reviews • 0 shelved
Book cover for Large Sample Covariance Matrices and High-Dimensional Data Analysis

Bookhype may earn a small commission from qualifying purchases. Full disclosure.

High-dimensional data appear in many fields, and their analysis has become increasingly important in modern statistics. However, it has long been observed that several well-known methods in multivariate analysis become inefficient, or even misleading, when the data dimension p is larger than, say, several tens. A seminal example is the well-known inefficiency of Hotelling's T2-test in such cases. This example shows that classical large sample limits may no longer hold for high-dimensional data; statisticians must seek new limiting theorems in these instances. Thus, the theory of random matrices (RMT) serves as a much-needed and welcome alternative framework. Based on the authors' own research, this book provides a firsthand introduction to new high-dimensional statistical methods derived from RMT. The book begins with a detailed introduction to useful tools from RMT, and then presents a series of high-dimensional problems with solutions provided by RMT methods.
  • ISBN13 9781107065178
  • Publish Date 26 March 2015 (first published 18 March 2015)
  • Publish Status Inactive
  • Out of Print 13 June 2021
  • Publish Country GB
  • Imprint Cambridge University Press
  • Format Hardcover
  • Pages 322
  • Language English