On the sharpness of asymptotic expressions for the spectral functions of empirical covariance matrices

DOI10.1070/RM1994V049N05ABEH002443zbMATH Open0841.15011OpenAlexW2071023726MaRDI QIDQ4872709FDOQ4872709

Authors: V. I. Serdobol'skij 

Publication date: 29 July 1996

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1994v049n05abeh002443

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zbMATH Keywords

convergencerandom matricesspectrumspectral functionsresolventssample covariance matriceslimit formulaeasymptotic expressions

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

Cited In (7)

• 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
• The resolvent and the spectral functions of sample covariance matrices of increasing dimension
• Covariance matrices of length power functionals of random geometric graphs -- an asymptotic analysis
• Title not available (Why is that?)
• Spectra of infinite-dimensional sample covariance matrices
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• Asymptotic behavior of spectral function of empirical covariance matrices

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