On asymptotic expansion and central limit theorem of linear eigenvalue statistics for sample covariance matrices when N/M 0

DOI10.1137/S0040585X97T987089MaRDI QIDQ5255333zbMATH OpenOpenAlexFDO

Authors

Publication date 15 June 2015

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.3470

zbMATH Keywords

asymptotic expansionlinear eigenvalue statisticssample covariance matrixStieltjes transform

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We study the renormalized real sample covariance matrix $H=X^{T}X/sqrtMN-sqrtM/N$ with $N/Mightarrow0$ as $N,Mightarrowinfty$ in this paper. And we always assume $M=M(N)$. Here $X=[X_{jk}{]}_{MimesN}$ is an $MimesN$ real random matrix with i.i.d entries, and we assume $mathbbE|X_{11}{|}^{5+delta}<infty$ with some small positive $delta$. The Stieltjes transform $m_N(z)=N^{-1}Tr(H-z{)}^{-1}$ and the linear eigenvalue statistics of $H$ are considered. We mainly focus on the asymptotic expansion of $mathbbE{m}_N(z)$ in this paper. Then for some fine test function, a central limit theorem for the linear eigenvalue statistics of $H$ is established. We show that the variance of the limiting normal distribution coincides with the case of a real Wigner matrix with Gaussian entries.

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Cited in

(3)

• Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices
• Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications
• Entangled states are typically incomparable

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