Sample Covariance Matrix for Random Vectors with Heavy Tails
نویسندگان
چکیده
1 This research was supported by a research scholarship for the Volkswagen St i f tung Research in Pairs program at Oberwolfach, Germany. 2 Department of Mathematics, University of Nevada. Reno, Nevada 89557. E-mail: mcubed(a unr.edu. 3 Department of Mathematics, University of Dortmund, 44221 Dortmund Germany. E-mail: hps(a mathematik.uni-dortmund.de. We compute the asymptotic distribution of the sample covariance matrix for independent and identically distributed random vectors with regularly varying tails. If the tails of the random vectors are sufficiently heavy so that the fourth moments do not exist, then the sample covariance matrix is asymptotically operator stable as a random element of the vector space of symmetric matrices.
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تاریخ انتشار 2002