Central limit theorem for the spiked eigenvalues of separable sample covariance matrices

• Main Author: Zhang, Bo
• Other Authors: Pan Guangming
• Format: Theses and Dissertations
• Language: English
• Published: 2017
• Subjects: DRNTU::Science::Mathematics::Statistics
• Online Access: http://hdl.handle.net/10356/70338
• Institution: Nanyang Technological University

This thesis is concerned about the central limit theorems for the spiked eigenvalues of separable sample covariance matrices and their applications. The first problem is to test a p-dimensional time series model with unit root. We establish both the convergence in probability and the asymptot...