A CLT for regularized sample covariance matrices
From MaRDI portal
Publication:1000301
DOI10.1214/07-AOS503zbMath1360.60047arXivmath/0612791MaRDI QIDQ1000301
Ofer Zeitouni, Greg W. Anderson
Publication date: 6 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0612791
62H12: Estimation in multivariate analysis
60F05: Central limit and other weak theorems
15B52: Random matrices (algebraic aspects)