Limiting Laws of Coherence of Random Matrices with Applications
... size n are comparable, i.e., n/p → γ ∈ (0, ∞), testing of the hypotheses H0 : Σ = I versus Ha : Σ 6= I, assuming µ = 0, has been considered by Johnstone (2001) in the Gaussian case and by Péché (2009) in the more general case where the distribution is assumed to be sub-Gaussian and where the ratio ...
... size n are comparable, i.e., n/p → γ ∈ (0, ∞), testing of the hypotheses H0 : Σ = I versus Ha : Σ 6= I, assuming µ = 0, has been considered by Johnstone (2001) in the Gaussian case and by Péché (2009) in the more general case where the distribution is assumed to be sub-Gaussian and where the ratio ...
