Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices

DOI10.1137/S0895479801385116zbMATH Open1059.60036OpenAlexW2103543826MaRDI QIDQ4443802FDOQ4443802

Authors: Zhidong Bai, Baiqi Miao, Jian-Feng Yao 

Publication date: 18 January 2004

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0895479801385116

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zbMATH Keywords

random matrixconvergence ratespectral distributionMarchenko-Pastur distribution

Mathematics Subject Classification ID

Multivariate analysis (62H99) Strong limit theorems (60F15)

Cited In (28)

• Extended proof of the statement: Convergence rate of expected spectral functions of the sample covariance matrix Ȓ mn (n) is equal to O(n -1/2 ) under the condition m n n -1 ≤ c < i and the method of critical steepest descent
• Precise asymptotics on spectral statistics of random matrices
• A note on the convergence rate of the spectral distributions of large sample covariance matrices
• Kernel density estimates in a non-standard situation
• Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
• Local law for eigenvalues of random regular bipartite graphs
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Non-white Wishart ensembles
• On the spectral density of large sample covariance matrices with Markov dependent columns
• Random matrix theory in statistics: a review
• Uniform approximation of eigenvalues in Laguerre and Hermite 𝛽-ensembles by roots of orthogonal polynomials
• Functional CLT for sample covariance matrices
• Random matrices: The distribution of the smallest singular values
• On asymptotics of eigenvectors of large sample covariance matrix
• The rate of convergence of spectra of sample covariance matrices
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
• Weak convergence of the empirical spectral distribution of high-dimensional band sample covariance matrices
• The numerical rank of a matrix and its applications
• Second-order moment convergence rates for spectral statistics of random matrices
• Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices
• Convergence rates to the Marchenko-Pastur type distribution
• The rate of convergence for spectra of GUE and LUE matrix ensembles
• A new method for bounding rates of convergence of empirical spectral distributions
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Cleaning large correlation matrices: tools from random matrix theory
• Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
• Rate of convergence in probability to the Marchenko-Pastur law
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension

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