Functional CLT for sample covariance matrices

Please use this identifier to cite or link to this item: https://doi.org/10.3150/10-BEJ250

DC Field	Value
dc.title	Functional CLT for sample covariance matrices
dc.contributor.author	Bai, Z.
dc.contributor.author	Wang, X.
dc.contributor.author	Zhou, W.
dc.date.accessioned	2014-10-28T05:12:16Z
dc.date.available	2014-10-28T05:12:16Z
dc.date.issued	2010-11
dc.identifier.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
dc.identifier.issn	13507265
dc.identifier.uri	http://scholarbank.nus.edu.sg/handle/10635/105154
dc.description.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.
dc.description.uri	http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.3150/10-BEJ250
dc.source	Scopus
dc.subject	Bernstein polynomial
dc.subject	Central limit theorem
dc.subject	Sample covariance matrices
dc.subject	Stieltjes transform
dc.type	Article
dc.contributor.department	STATISTICS & APPLIED PROBABILITY
dc.description.doi	10.3150/10-BEJ250
dc.description.sourcetitle	Bernoulli
dc.description.volume	16
dc.description.issue	4
dc.description.page	1086-1113
dc.identifier.isiut	000285533700009
Appears in Collections:	Staff Publications

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