Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix

DOI10.1214/13-AOS1154zbMath1285.15018arXiv1311.5000OpenAlexW2057906615MaRDI QIDQ2438762

Ningning Xia, Ying-Li Qin, Zhi-Dong Bai

Publication date: 6 March 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5000

zbMATH Keywords

Stieltjes transformconvergenceeigenvalueeigenvectorKolmogorov distancesample covariance matrixempirical spectral distributionMarčenko-Pastur distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (10)

Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices ⋮ Sum rules via large deviations ⋮ Convergence of eigenvector empirical spectral distribution of sample covariance matrices ⋮ The eigenvector LSD of information plus noise matrices and its application to linear regression model ⋮ Most powerful test against a sequence of high dimensional local alternatives ⋮ Functional CLT of eigenvectors for large sample covariance matrices ⋮ Edge universality of separable covariance matrices ⋮ On the eigenvectors of large-dimensional sample spatial sign covariance matrices ⋮ Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices ⋮ The conjugate gradient algorithm on a general class of spiked covariance matrices

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