Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices

DOI10.1214/AOP/1176989262zbMATH Open0779.60025OpenAlexW2021217937MaRDI QIDQ686754FDOQ686754

Zhidong Bai

Publication date: 11 October 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989262

zbMATH Keywords

convergence rateWigner matrixsample covariance matrices

Mathematics Subject Classification ID

Bayesian inference (62F15) Strong limit theorems (60F15)

Cited In (41)

• Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
• Precise asymptotics on spectral statistics of random matrices
• Asymptotic power of sphericity tests for high-dimensional data
• On the non-asymptotic concentration of heteroskedastic Wishart-type matrix
• Universality in the bulk of the spectrum for complex sample covariance matrices
• On the distinguishability of random quantum states
• Non-white Wishart ensembles
• Beyond universality in random matrix theory
• Non-Hermitian random matrices with a variance profile. I: Deterministic equivalents and limiting esds
• Random matrix theory in statistics: a review
• Projected tests for high-dimensional covariance matrices
• Convergence of empirical spectral distributions of large dimensional quaternion sample covariance matrices
• Functional CLT for sample covariance matrices
• Kernel estimators for Marčenko-Pastur law of quaternion sample covariance matrices
• Recent developments in high dimensional covariance estimation and its related issues, a review
• The spectrum of a random geometric graph is concentrated
• Nonparametric estimate of spectral density functions of sample covariance matrices: a first step
• Convergence of eigenvector empirical spectral distribution of sample covariance matrices
• On asymptotics of eigenvectors of large sample covariance matrix
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
• Large deviations for the largest eigenvalue of Rademacher matrices
• Hölder continuity of cumulative distribution functions for noncommutative polynomials under finite free Fisher information
• Two sample tests for high-dimensional covariance matrices
• Circular law
• Berry–Esseen bound of wavelet estimators in heteroscedastic regression model with random errors
• A family of flexible shrinkage estimators for the variances of high-dimensional gene expressions
• Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices
• A note on the convergence rate of the spectral distributions of large random matrices
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Convergence rates to the Marchenko-Pastur type distribution
• The rate of convergence for spectra of GUE and LUE matrix ensembles
• A new test for sphericity of the covariance matrix for high dimensional data
• A new method for bounding rates of convergence of empirical spectral distributions
• Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices
• Title not available (Why is that?)
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Eigenvectors of some large sample covariance matrix ensembles
• Asymptotic linear spectral statistics for spiked Hermitian random matrices
• The logarithmic law of random determinant
• Rate of convergence in probability to the Marchenko-Pastur law
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension

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