Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices (Q686754): Difference between revisions
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Latest revision as of 22:05, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices |
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Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices (English)
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11 October 1993
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[For part I see the paper reviewed above.] This second part is devoted to establish convergence rate for the sample covariance matrices. If \(y\), the ratio of the dimension to the degrees of freedom (or sample size), is different from 0 and 1, the author establishes the order of \(O(n^{-1/4})\), and if \(y\) is close to 1, the order \(O(n^{-5/48})\).
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Wigner matrix
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convergence rate
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sample covariance matrices
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