Estimation of deviation for random covariance matrices
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The authors consider random covariance matrices of the form \(W=M^* M\), where \(M\) is a \(p\times n\)-random matrix whose entries are independent (not necessarily identically distributed) random variables with zero mean, unit variance, and uniformly bounded fourth moments. They prove an explicit estimate on the probability that certain distance between the empirical spectral distribution of \(W/n\) and the Marchenko-Pastur law exceeds some given number.
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Cites work
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- Convergence rates to the Marchenko-Pastur type distribution
- Convergence to the semicircle law
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Dynamics in several complex variables: endomorphisms of projective spaces and polynomial-like mappings
- scientific article; zbMATH DE number 3477793 (Why is no real title available?)
- scientific article; zbMATH DE number 3443655 (Why is no real title available?)
- Isotropic local laws for sample covariance and generalized Wigner matrices
- Large deviation theorem for zeros of polynomials and Hermitian random matrices
- Limiting spectral distribution for a class of random matrices
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- Random covariance matrices: universality of local statistics of eigenvalues
- Rate of convergence in probability to the Marchenko-Pastur law
- Some limit theorems for the eigenvalues of a sample covariance matrix
- Some new asymptotic properties for the zeros of Jacobi, Laguerre, and Hermite polynomials
- Spectral analysis of large dimensional random matrices
- Spectral Analysis of Networks with Random Topologies
- The strong limits of random matrix spectra for sample matrices of independent elements
- Universality of local eigenvalue statistics for some sample covariance matrices
Cited in
(12)- Gaussian fluctuations for sample covariance matrices with dependent data
- Random matrix-improved estimation of covariance matrix distances
- Error estimates resulting from the norms of certain noise covariance matrices
- Quantitative estimates of the convergence of the empirical covariance matrix in log-concave ensembles
- Estimation and Tests for Departures from Rao-Structured Covariance Matrices
- Estimating the covariance of random matrices
- scientific article; zbMATH DE number 2147973 (Why is no real title available?)
- Extended proof of the statement: Convergence rate of expected spectral functions of the sample covariance matrix Ȓ mn (n) is equal to O(n -1/2 ) under the condition m n n -1 ≤ c < i and the method of critical steepest descent
- On the empirical spectral distribution for certain models related to sample covariance matrices with different correlations
- Learning Theory
- Eigenvalue variance bounds for covariance matrices
- Distribution approximation of covariance matrix eigenvalues
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