Gaussian fluctuations for sample covariance matrices with dependent data

DOI10.1016/J.JMVA.2012.08.004MaRDI QIDQ1931868zbMATH OpenOpenAlexFDO

Authors O. Friesen, Michael Stolz, M. Löwe

Publication date 16 January 2013

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

Full work available at URL https://arxiv.org/abs/1203.4387

zbMATH Keywords

dependent random variablesrandom matrix theorycumulantssample covariance matricesMarčenko-Pastur law

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Abstract: It is known (Hofmann-Credner and Stolz (2008)) that the convergence of the mean empirical spectral distribution of a sample covariance matrix W_n = 1/n Y_n Y_n^t to the Marv{c}enko-Pastur law remains unaffected if the rows and columns of Y_n exhibit some dependence, where only the growth of the number of dependent entries, but not the joint distribution of dependent entries needs to be controlled. In this paper we show that the well-known CLT for traces of powers of W_n also extends to the dependent case.

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• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
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