Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices

Mathematics

• Martingale 80%
• Covariance matrix 76%
• High-dimensional 69%
• Testing 59%
• Martingale Central Limit Theorem 44%
• Covariance Matrix Estimation 42%
• Information Criterion 34%
• U-statistics 33%
• Probability Theory 28%
• Central limit theorem 26%
• Optimality 23%
• Statistics 19%
• Alternatives 17%

Business & Economics

• Martingale 100%
• Central Limit Theorem 72%
• Testing 70%
• Covariance Matrix Estimation 35%
• U-statistics 33%
• Estimation Risk 27%
• Probability Theory 26%
• Optimality 26%
• Information Criterion 26%
• Statistics 15%
• Alternatives 9%