The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 6, No. 1 (1978), pp. 49-56 (8 pages) An asymptotic expansion is given for the distribution of the α-th largest latent root ...

Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...