A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes

DOI10.1214/23-aos2333zbMath1529.60029arXiv2212.05896OpenAlexW4389796693MaRDI QIDQ6183780

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Publication date: 4 January 2024

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

Full work available at URL: https://arxiv.org/abs/2212.05896

zbMATH Keywords

Stieltjes transformrandom matrixempirical spectral distributionlinear spectral statistic (LSS)

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

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