Gaussian fluctuations for sample covariance matrices with dependent data
DOI10.1016/j.jmva.2012.08.004zbMath1279.60013arXiv1203.4387OpenAlexW1987361161MaRDI QIDQ1931868
Michael Stolz, Olga Friesen, Matthias Loewe
Publication date: 16 January 2013
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.4387
cumulantsrandom matrix theorydependent random variablessample covariance matricesMarčenko-Pastur law
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
Related Items (5)
This page was built for publication: Gaussian fluctuations for sample covariance matrices with dependent data