Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
نویسندگان
چکیده
منابع مشابه
Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices
In this paper, we improve known results on the convergence rates of spectral distributions of large-dimensional sample covariance matrices of size p× n. Using the Stieltjes transform, we first prove that the expected spectral distribution converges to the limiting Marčenko–Pastur distribution with the dimension sample size ratio y = yn = p/n at a rate of O(n−1/2) if y keeps away from 0 and 1, u...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2013
ISSN: 0090-5364
DOI: 10.1214/13-aos1154