Functional CLT for sample covariance matrices

DOI10.3150/10-BEJ250MaRDI QIDQ627288zbMATH OpenOpenAlexFDO

Authors Xiaoying Wang, Wang Zhou, Zhidong Bai

Publication date 28 February 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.5729

zbMATH Keywords

Bernstein polynomialcentral limit theoremsample covariance matricesStieltjes transform

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: Using Bernstein polynomial approximations, we prove the central limit theorem for linear spectral statistics of sample covariance matrices, indexed by a set of functions with continuous fourth order derivatives on an open interval including $[(1-sqrty{)}^2,(1+sqrty{)}^2]$, the support of the Maru{c}enko--Pastur law. We also derive the explicit expressions for asymptotic mean and covariance functions.

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Cited in

(20)

• A CLT for regularized sample covariance matrices
• Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices
• Free energy of bipartite spherical Sherrington-Kirkpatrick model
• Central limit theorem for mesoscopic eigenvalue statistics of deformed Wigner matrices and sample covariance matrices
• The multivariate functional de Jong CLT
• Functional CLT of eigenvectors for large sample covariance matrices
• Second-order moment convergence rates for spectral statistics of random matrices
• Random matrix theory in statistics: a review
• Beyond universality in random matrix theory
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Identity tests for high dimensional data using RMT
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• Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model
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