Functional CLT for sample covariance matrices

DOI10.3150/10-BEJ250zbMATH Open1210.60025arXiv1011.5729OpenAlexW2072325299MaRDI QIDQ627288FDOQ627288

Authors: Xiaoying Wang, Wang Zhou, Zhidong Bai 

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Using Bernstein polynomial approximations, we prove the central limit theorem for linear spectral statistics of sample covariance matrices, indexed by a set of functions with continuous fourth order derivatives on an open interval including $[(1-sqrty{)}^2,(1+sqrty{)}^2]$, the support of the Maru{c}enko--Pastur law. We also derive the explicit expressions for asymptotic mean and covariance functions.

Full work available at URL: https://arxiv.org/abs/1011.5729

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zbMATH Keywords

Stieltjes transformcentral limit theoremBernstein polynomialsample covariance matrices

Mathematics Subject Classification ID

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

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Cited In (19)

• Identity tests for high dimensional data using RMT
• Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
• Precise asymptotics on spectral statistics of random matrices
• Free energy of bipartite spherical Sherrington-Kirkpatrick model
• Central limit theorem for mesoscopic eigenvalue statistics of deformed Wigner matrices and sample covariance matrices
• Functional CLT of eigenvectors for large sample covariance matrices
• A CLT for regularized sample covariance matrices
• Beyond universality in random matrix theory
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Random matrix theory in statistics: a review
• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
• On the CLT for Linear Eigenvalue Statistics of a Tensor Model of Sample Covariance Matrices
• Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices
• Global eigenvalue fluctuations of random biregular bipartite graphs
• Second-order moment convergence rates for spectral statistics of random matrices
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model
• Convergence rates to the Marchenko-Pastur type distribution
• The multivariate functional de Jong CLT

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