Some limit theorems for the eigenvalues of a sample covariance matrix

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Publication:1167486

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DOI10.1016/0047-259X(82)90080-XzbMath0491.62021MaRDI QIDQ1167486

Dag Jonsson

Publication date: 1982

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

zbMATH Keywords

weak convergence almost sure convergence method of moments generalized variance cumulative distribution function stochastic convergence bounds of Berry- Esseen type eigenvalues of sample covariance matrix log sum of eigenvalues

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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