The Rate of Convergence of Spectra of Sample Covariance Matrices

DOI10.1137/S0040585X97983985zbMath1210.60013arXiv0712.3725OpenAlexW2162250452MaRDI QIDQ3581320

Friedrich Götze, Alexander Tikhomirov

Publication date: 16 August 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3725

zbMATH Keywords

rates of convergencesample covariance matrixempirical eigenvalue distributionMarchenko-Pastur distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Limit theorems in probability theory (60F99)

Related Items (8)

Optimal bounds for convergence of expected spectral distributions to the semi-circular law ⋮ Rate of convergence to the semi-circular law ⋮ Convergence rates to the Marchenko-Pastur type distribution ⋮ Kernel density estimates in a non-standard situation ⋮ Random matrices: The distribution of the smallest singular values ⋮ Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices ⋮ Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations ⋮ A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population

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