Asymptotic properties of eigenmatrices of a large sample covariance matrix

DOI10.1214/10-AAP748zbMath1234.15013arXiv1201.0086MaRDI QIDQ655590

Wing-Keung Wong, HuiXia Liu, Zhi-Dong Bai

Publication date: 4 January 2012

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

Full work available at URL: https://arxiv.org/abs/1201.0086

zbMATH Keywords

Gaussian processrandom matrixcentral limit theoremssample covariance matrixsemicircular lawlinear spectral statisticsMarchenko-Pastur lawHaar distribution

Mathematics Subject Classification ID

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

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