Limit Theorem for the Eigenvalues of the Sample Covariance Matrix when the Underlying Distribution is Isotropic

DOI10.1137/1130110zbMath0658.62025OpenAlexW2085898040MaRDI QIDQ3806558

Y. Q. Yin, P. R. Krishnaiah

Publication date: 1986

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1130110

zbMATH Keywords

moment conditionisotropic distributionsspectral distribution of the sample covariance matrix

Mathematics Subject Classification ID

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

Related Items (6)

Limiting spectral distribution for a type of sample covariance matrices ⋮ Semicircle law of Tyler's \(M\)-estimator for scatter ⋮ Limiting spectral distribution of \(XX^{\prime }\) matrices ⋮ High-dimensional linear models: a random matrix perspective ⋮ Limiting spectral distribution for a class of random matrices ⋮ On the universality of spectral limit for random matrices with martingale differences entries

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