Limiting spectral distribution of a symmetrized auto-cross covariance matrix

DOI10.1214/13-AAP945zbMath1296.60006MaRDI QIDQ2454407

K. Krishnan Nair, Matthew C. Harding, Chen Wang, Baisuo Jin, Zhi-Dong Bai

Publication date: 13 June 2014

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

Full work available at URL: https://projecteuclid.org/euclid.aoap/1398258099

zbMATH Keywords

Stieltjes transformrandom matrix theoryfactor analysislimiting spectral distributionMarčenko-Pastur laworder detectionauto-cross covariance

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)

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