Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix

DOI10.1016/j.jmva.2016.03.001zbMath1338.60011arXiv1509.06121MaRDI QIDQ276985

Dette, Holger, Taras Bodnar, Nestor Parolya

Publication date: 4 May 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.06121

zbMATH Keywords

Moore-Penrose inverse; random matrix theory; large-dimensional asymptotics; CLT

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

60F05: Central limit and other weak theorems

60B20: Random matrices (probabilistic aspects)

60F15: Strong limit theorems

15B52: Random matrices (algebraic aspects)

60F17: Functional limit theorems; invariance principles