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Random matrix theory in statistics: A review

  • Author(s): Paul, D;
  • Aue, A
  • et al.
Abstract

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.

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