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Johannes Heiny: Recent advances on the spectrum of large sample correlation matrices

Time: Wed 2023-04-05 15.15 - 16.00

Location: Cramer room, Albano

Participating: Johannes Heiny (SU)


Many fields of modern sciences are faced with high-dimensional data sets. In this talk, we investigate the spectral properties of a large sample correlation matrix R. Results for the spectral distribution, extreme eigenvalues and functionals of the eigenvalues of R are presented in both light- and heavy-tailed cases. The findings are applied to independence testing and to the volume of random simplices.