Strong convergence of ESD for the generalized sample covariance matrices when p/n 0
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Publication:433567
DOI10.1016/J.SPL.2012.01.012zbMATH Open1244.60008OpenAlexW2041833447MaRDI QIDQ433567FDOQ433567
Authors: Zhigang Bao 
Publication date: 5 July 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.012
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- Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero
- Limiting spectral distribution of renormalized separable sample covariance matrices when \(p/n\to 0\)
- Limiting spectral distribution of normalized sample covariance matrices with \(p/n\to 0\)
- Strong convergence of ESD for large quaternion sample covariance matrices and correlation matrices when \(p/n\to 0\)
- Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
Random matrices (algebraic aspects) (15B52) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
Cites Work
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
- Characteristic vectors of bordered matrices with infinite dimensions
- Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
- Asymptotic properties of large random matrices with independent entries
- Convergence to the semicircle law
- The cubic law, the invariance principle, and related topics in the theory of analytic functions of random matrices
- The limiting spectral distribution of the product of the Wigner matrix and a nonnegative definite matrix
Cited In (12)
- Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
- Matrix polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to y(0,\infty)\)
- Deformed semicircle law and concentration of nonlinear random matrices for ultra-wide neural networks
- Polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to 0\)
- Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
- Some strong convergence theorems for eigenvalues of general sample covariance matrices
- Random matrix theory in statistics: a review
- Strong convergence of ESD for large quaternion sample covariance matrices and correlation matrices when \(p/n\to 0\)
- Convergence of the empirical spectral distribution function of beta matrices
- Limiting spectral distribution of renormalized separable sample covariance matrices when \(p/n\to 0\)
- Weak convergence of the empirical spectral distribution of high-dimensional band sample covariance matrices
- Limiting spectral distribution of normalized sample covariance matrices with \(p/n\to 0\)
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