Convergence rates to the Marchenko-Pastur type distribution

DOI10.1016/j.spa.2011.10.002zbMath1234.60033OpenAlexW1964428533MaRDI QIDQ655317

Wang Zhou, Jiang Hu, Zhi-Dong Bai

Publication date: 4 January 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.10.002

zbMATH Keywords

convergence ratespectral distributionsample covariance matrix

Mathematics Subject Classification ID

Multivariate analysis (62H99) Strong limit theorems (60F15)

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Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models, Spiked singular values and vectors under extreme aspect ratios, Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices, Estimation of deviation for random covariance matrices

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