scientific article; zbMATH DE number 843975

MaRDI QIDQ4865074zbMATH OpenFDO

Authors Vyacheslav Girko

Publication date 14 February 1996

zbMATH Keywords

asymptotics of eigenvaluesempirical covariance matricesnormally distributed vectorresolventStieltjes transform

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Asymptotic distribution theory in statistics (62E20) Multivariate analysis (62H99) Probabilistic methods, stochastic differential equations (65C99) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

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(8)

• On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
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