Functional CLT of eigenvectors for large sample covariance matrices

DOI10.1007/s00362-013-0565-3zbMath1309.15054OpenAlexW2041751032MaRDI QIDQ2254734

Ningning Xia, Zhi-Dong Bai

Publication date: 6 February 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0565-3

zbMATH Keywords

Stieltjes transformeigenvalueconvergence ratecentral limit theoremBernstein polynomialsample covariance matrixempirical spectral distributionHaar distributionMarcenko-Pastur laweigenvector matrix

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)

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