Extended proof of the statement: Convergence rate of expected spectral functions of the sample covariance matrix Ȓ mn (n) is equal to O(n -1/2 ) under the condition m n n -1 ≤ c < i and the method of critical steepest descent

DOI10.1515/ROSE.2002.10.4.351zbMATH Open1008.62056OpenAlexW1988267390MaRDI QIDQ4780947

Vyacheslav L. Girko

Publication date: 21 November 2002

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2002.10.4.351

zbMATH Keywords

convergence ratesspectral functionsempirical covariance matricesmartingale difference methodGram random matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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