Gaussian fluctuations for linear spectral statistics of large random covariance matrices

DOI10.1214/15-AAP1135zbMath1408.60011arXiv1309.3728OpenAlexW1639175092MaRDI QIDQ303975

Jamal Najim, Jian-feng Yao

Publication date: 23 August 2016

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

Full work available at URL: https://arxiv.org/abs/1309.3728

zbMATH Keywords

central limit theoremlarge random matrixlinear statistics of the eigenvalues

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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