Nonparametric bootstrap of high-dimensional sample covariance matrices

We introduce a new "$(m,mp/n)$ out of $(n,p)$" sampling-with-replace\-ment bootstrap for eigenvalue statistics of high-dimensional sample covariance matrices based on $n$ independent $p$-dimensional random vectors. In the high-dimensional scenario $p/n\rightarrow c\in (0,\infty)$, this ful...

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Bibliographische Detailangaben

Hauptverfasser:	Dette, Holger, Rohde, Angelika
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Mathematics - Statistics Theory Statistics - Theory
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