Please use this identifier to cite or link to this item: 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
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