Random matrix theory in statistics: A review
- Author(s): Paul, D;
- Aue, A
- et al.
Published Web Locationhttps://doi.org/10.1016/j.jspi.2013.09.005
We give an overview of random matrix theory (RMT) with the objective of highlighting the results and concepts that have a growing impact in the formulation and inference of statistical models and methodologies. This paper focuses on a number of application areas especially within the field of high-dimensional statistics and describes how the development of the theory and practice in high-dimensional statistical inference has been influenced by the corresponding developments in the field of RMT. © 2014 Elsevier B.V.