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

DOI10.1515/ROSE.2002.10.4.351MaRDI QIDQ4780947zbMATH OpenOpenAlexFDO

Authors Vyacheslav Girko

Publication date 21 November 2002

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2002.10.4.351

zbMATH Keywords

convergence ratesspectral functionsempirical covariance matricesmartingale difference methodGram random matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cited in

(3)

• Extended proof of the Statement: Convergence rate of the expected spectral functions of symmetric random matrices Ξ n is equal to O (n—1/2) and the method of critical steepest descent
• Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
• The rate of convergence of spectra of sample covariance matrices

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