Weak convergence of the empirical spectral distribution of high-dimensional band sample covariance matrices

DOI10.1007/S10959-017-0751-7MaRDI QIDQ1800935zbMATH OpenOpenAlexFDO

Authors Kamil Jurczak

Publication date 26 October 2018

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

Full work available at URL https://arxiv.org/abs/1508.01101

zbMATH Keywords

method of momentsweak convergencestrong convergenceempirical spectral distributionhigh-dimensional sample covariance matricesnumber of restricted compositions of a natural number

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

Abstract: In this article we investigate high-dimensional banded sample covariance matrices under the regime that the sample size $n$, the dimension $p$ and the bandwidth $d$ tend simultaneously to infinity such that ${\displaystyle }$n/p o 0 ext{and} 2d/n o y>0.${\displaystyle }$ It is shown that the empirical spectral distribution of those matrices almost surely converges weakly to some deterministic probability measure which is characterized by its moments. Certain restricted compositions of natural numbers play a crucial role in the evaluation of the expected moments of the empirical spectral distribution.

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Cited in

(2)

• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• A CLT for regularized sample covariance matrices

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