Strong convergence of ESD for the generalized sample covariance matrices when p/n 0

DOI10.1016/J.SPL.2012.01.012MaRDI QIDQ433567zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Stieltjes transformlimiting spectral distributionsample covariance matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Recommendations

• 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

Cites work

• Asymptotic properties of large random matrices with independent entries
• Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Characteristic vectors of bordered matrices with infinite dimensions
• Convergence to the semicircle law
• 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
• 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 \(pn^{-1}\to y(0,\infty)\)
• Polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to 0\)
• Deformed semicircle law and concentration of nonlinear random matrices for ultra-wide neural networks
• 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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