CLT for Linear Spectral Statistics of Large Dimensional Sample Covariance Matrices

CLT for Linear Spectral Statistics of Large Dimensional Sample Covariance Matrices (2003)

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by Z. D. Bai , Jack W. Silverstein

Citations:

22 - 0 self

BibTeX

@MISC{Bai03cltfor,
    author = {Z. D. Bai and Jack W. Silverstein},
    title = {CLT for Linear Spectral Statistics of Large Dimensional Sample Covariance Matrices},
    year = {2003}
}

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Abstract

This paper shows their of rate of convergence to be 1/n by proving, after proper scaling, they form a tight sequence. Moreover, if EX 11 =0andE|X11 =2, or if X11 and T n are real and EX 11 = 3, they are shown to have Gaussian limits

Citations

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