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https://doi.org/10.3150/10-BEJ250
| Title: | Functional CLT for sample covariance matrices | Authors: | Bai, Z. Wang, X. Zhou, W. |
Keywords: | Bernstein polynomial Central limit theorem Sample covariance matrices Stieltjes transform |
Issue Date: | Nov-2010 | Citation: | Bai, Z., Wang, X., Zhou, W. (2010-11). Functional CLT for sample covariance matrices. Bernoulli 16 (4) : 1086-1113. ScholarBank@NUS Repository. https://doi.org/10.3150/10-BEJ250 | Abstract: | Using Bernstein polynomial approximations, we prove the central limit theorem for linear spectral statistics of sample covariance matrices, indexed by a set of functions with continuous fourth order derivatives on an open interval including [(1 - √ y)2, (1 + √ y)2], the support of the Marčenko-Pastur law. We also derive the explicit expressions for asymptotic mean and covariance functions. © 2010 ISI/BS. | Source Title: | Bernoulli | URI: | http://scholarbank.nus.edu.sg/handle/10635/105154 | ISSN: | 13507265 | DOI: | 10.3150/10-BEJ250 |
| Appears in Collections: | Staff Publications |
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