Weak Convergence of the Empirical Spectral Distribution of High-Dimensional Band Sample Covariance Matrices
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s10959-017-0751-7/fulltext.html
Reference19 articles.
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2. Bai, Z., Silverstein, J.: Spectral Analysis of Large Dimensional Random Matrices. Springer, New York (2010)
3. Bai, Z.D., Yin, Y.Q.: Limit of the smallest eigenvalue of a large-dimensional sample covariance matrix. Ann. Prob. 21, 1275–1294 (1993)
4. Bai, Z.D., Zhang, L.X.: Semicircle law for Hadamard products. SIAM. J. Matrix Anal. Appl. 29, 473–495 (2007)
5. Benaych-Georges, F., Péché, S.: Largest eigenvalues and eigenvectors of band or sparse matrices. Electron. Commun. Probab. 19, 1–9 (2014a)
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