A new method for bounding rates of convergence of empirical spectral distributions

DOI10.1007/S10959-004-0587-9MaRDI QIDQ1770906zbMATH OpenOpenAlexFDO

Authors Snigdhansu Chatterjee, Arup Bose

Publication date 7 April 2005

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-004-0587-9

zbMATH Keywords

eigenvaluesLarge dimensional random matrixlimiting spectral distributionMarchenko-Pastur lawmoment methodnormal approximationrandom probabilitysample variance covariance matrixsemicircular lawStieltjes transformToeplitz matrixWigner matrix

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

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Cited in

(16)

• On asymptotic behavior of multilinear eigenvalue statistics of random matrices
• Fluctuations of matrix elements of regular functions of Gaussian random matrices
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• On concentration of empirical measures and convergence to the semi-circle law
• Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
• Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
• Kernel density estimates in a non-standard situation
• Free transport-entropy inequalities for non-convex potentials and application to concentration for random matrices
• Rates of convergence for empirical spectral measures: a soft approach
• Gaussian fluctuations for linear spectral statistics of deformed Wigner matrices
• RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION
• The Rate of Convergence in Probability for Spectra of the GUE
• Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes
• Concentration of empirical distribution functions with applications to non-i.i.d. models
• Central limit theorem for linear eigenvalue statistics of the Wigner and the sample covariance random matrices
• A CLT for a band matrix model

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