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|Title:||Functional CLT for sample covariance matrices||Authors:||Bai, Z.
Central limit theorem
Sample covariance matrices
|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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