CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size

• Main Authors: Chen, Binbin, Pan, Guangming
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Subjects: DRNTU::Science::Physics::Atomic physics
• Online Access: https://hdl.handle.net/10356/107446; http://hdl.handle.net/10220/25620
• Institution: Nanyang Technological University

Let A = 1/√np(XT X−pIn) where X is a p×n matrix, consisting of independent and identically distributed (i.i.d.) real random variables Xij with mean zero and variance one. When p/n→∞, under fourth moment conditions a central limit theorem (CLT) for linear spectral statistics (LSS) of A defined by the...