We study the principal components of covariance estimators in multivariate mixed-effects
linear models. We show that, in high dimensions, the principal eigenvalues and …

Suppose X is an N× n complex matrix whose entries are centered, independent, and
identically distributed random variables with variance 1∕ n and whose fourth moment is of …

This is a selective review on the behavior of the high-dimensional sample covariance matrix,
S= n-1 XX∗, the most important random matrix in high-dimensional statistics, and some …

Consider the empirical autocovariance matrices at given non-zero time lags, based on
observations from a multivariate complex Gaussian stationary time series. The spectral …

Abstract Professor CR Rao's Linear Statistical Inference is a classic that has motivated
several generations of statisticians in their pursuit of theoretical research. This paper looks …

Let Z u=((ε u, i, j)) p× n be random matrices where ε u, i, j are independently distributed.
Suppose A i, B i are non-random matrices of order p× p and n× n respectively. Consider all …