Citation:
Anatolyev, Stanislav and Maksim Smirnov (2024) "Off-diagonal elements of projection matrices and dimension asymptotics", Economics Letters, vol. 239, pp. 111761
Abstract:
We provide insights on asymptotic behavior of the off-diagonal elements of projection matrices in settings, where the dimension of underlying vectors grows with the sample size. Under designs favorable to application of the random matrix theory, the off-diagonal elements are asymptotically normal with a simple variance expression. We also discuss the robustness of the result to deviations of the design from the ideal setup.
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Paper in accepted form: