Limiting spectral distribution of normalized sample covariance matrices with \(p/n\to 0\)

DOI10.1016/j.spl.2012.10.014zbMath1267.60034OpenAlexW2064740983MaRDI QIDQ1950660

Junshan Xie

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.10.014

zbMATH Keywords

Stieltjes transformlimiting spectral distributionnormalized sample covariance matrices

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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Strong convergence of ESD for large quaternion sample covariance matrices and correlation matrices when p/n → 0 ⋮ Generalized Regression Estimators with High-Dimensional Covariates ⋮ The limiting spectral distribution for large sample covariance matrices with unboundedm-dependent entries

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