Fluctuations of the diagonal entries of a large sample precision matrix

Nina Dörnemann and Holger Dette

Statistics & Probability Letters, 2023, vol. 198, issue C

Abstract: For a p×n data matrix Xn with i.i.d. centered entries and a population covariance matrix Σ, the corresponding sample precision matrix Σˆ−1 is defined as the inverse of the sample covariance matrix Σˆ=(1/n)Σ1/2XnXn⊤Σ1/2. We determine the joint distribution of a vector of diagonal entries of the matrix Σˆ−1 in the situation, where pn=pKeywords: Central limit theorem; Sample precision matrix; High-dimensional statistics (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109838

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