Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices

Keyphrases

• High-dimensional Covariance Matrix 100%
• Martingale Limit Theory 100%
• Peter Hall 100%
• Central Limit Theorem 33%
• Large Covariance Matrix 33%
• Wide Applicability 33%
• Stein's Unbiased Risk Estimate 33%
• Second Application 33%
• Estimation Information 33%
• Information Criteria 33%
• Asymptotic Power 33%
• General Alternatives 33%
• Contemporary Applications 33%
• Martingale 33%
• Asymptotic Size 33%
• Covariance Matrix Estimation 33%
• Degenerate U-statistics 33%
• Mathematical Statistics 33%
• Martingale Central Limit Theorem 33%
• Modern Probability Theory 33%
• Probability Statistics 33%

Mathematics

• Covariance Matrix 100%
• Central Limit Theorem 66%
• Asymptotics 33%
• Probability Theory 33%
• Optimality 33%
• Information Criterion 33%
• Risk Unbiased Estimation 33%
• U-Statistics 33%
• Covariance Matrix Estimation 33%
• Mathematical Statistic 33%