THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES

Götze F, Tikhomirov A (2010)
THEORY OF PROBABILITY AND ITS APPLICATIONS 54(1): 129-U7.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor*in
Götze, FriedrichUniBi; Tikhomirov, Alexander
Abstract / Bemerkung
It is shown that the Kolmogorov distance between the spectral distribution function of a random covariance matrix 1/p XXT, where X is an n x p matrix with independent entries and the distribution function of the Marchenko-Pastur law is of order O(n(-1/2)). The bounds hold uniformly for any p, including p/n equal or close to 1.
Stichworte
sample covariance matrix; spectral; distribution function; Marchenko-Pastur distribution
Erscheinungsjahr
2010
Zeitschriftentitel
THEORY OF PROBABILITY AND ITS APPLICATIONS
Band
54
Ausgabe
1
Seite(n)
129-U7
ISSN
0040-585X
Page URI
https://pub.uni-bielefeld.de/record/1796101

Zitieren

Götze F, Tikhomirov A. THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES. THEORY OF PROBABILITY AND ITS APPLICATIONS. 2010;54(1):129-U7.
Götze, F., & Tikhomirov, A. (2010). THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES. THEORY OF PROBABILITY AND ITS APPLICATIONS, 54(1), 129-U7. doi:10.1137/S0040585X97983985
Götze, F., and Tikhomirov, A. (2010). THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES. THEORY OF PROBABILITY AND ITS APPLICATIONS 54, 129-U7.
Götze, F., & Tikhomirov, A., 2010. THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES. THEORY OF PROBABILITY AND ITS APPLICATIONS, 54(1), p 129-U7.
F. Götze and A. Tikhomirov, “THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES”, THEORY OF PROBABILITY AND ITS APPLICATIONS, vol. 54, 2010, pp. 129-U7.
Götze, F., Tikhomirov, A.: THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES. THEORY OF PROBABILITY AND ITS APPLICATIONS. 54, 129-U7 (2010).
Götze, Friedrich, and Tikhomirov, Alexander. “THE RATE OF CONVERGENCE OF SPECTRA OF SAMPLE COVARIANCE MATRICES”. THEORY OF PROBABILITY AND ITS APPLICATIONS 54.1 (2010): 129-U7.