# 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)

### Abstract

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.