CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
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...
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Main Authors: | , |
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Other Authors: | |
Format: | Article |
Language: | English |
Published: |
2015
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/107446 http://hdl.handle.net/10220/25620 |
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Institution: | Nanyang Technological University |
Language: | English |