CLT for linear spectral statistics of large-dimensional sample covariance matrices.

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Publication:1879863

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DOI10.1214/aop/1078415845zbMath1063.60022OpenAlexW1965748679MaRDI QIDQ1879863

Jack W. Silverstein, Zhi-Dong Bai

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1078415845

zbMATH Keywords

Stieltjes transform random matrix linear spectral statistics empirical distribution function of eigenvalues

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Random matrices (algebraic aspects) (15B52)

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