Some limit theorems for the eigenvalues of a sample covariance matrix

DOI10.1016/0047-259X(82)90080-XzbMath0491.62021MaRDI QIDQ1167486

Dag Jonsson

Publication date: 1982

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

weak convergencealmost sure convergencemethod of momentsgeneralized variancecumulative distribution functionstochastic convergencebounds of Berry- Esseen typeeigenvalues of sample covariance matrixlog sum of eigenvalues

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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Cites Work

• Characteristic vectors of bordered matrices with infinite dimensions
• On the distribution of the roots of certain symmetric matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• The strong limits of random matrix spectra for sample matrices of independent elements
• On the asymptotic distribution of the eigenvalues of random matrices
• Spectral Analysis of Networks with Random Topologies
• On Wigner's semicircle law for the eigenvalues of random matrices
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