Asymptotic properties of eigenmatrices of a large sample covariance matrix

Annals of Applied Probability

Volumn 21, Issue 5, 2011, Pages 1994-2015

  Bai, Z D ^a   Liu, H X ^b   Wong, W K ^c  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Central limit theorems; Haar distribution; Linear spectral statistics; Mar enko Pastur law; Random matrix; Sample covariance matrix; Semicircular law

Indexed keywords

EID: 79958274572     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AAP748     Document Type: Article

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