Convergence of the empirical spectral distribution function of Beta matrices

• Main Authors: Bai, Zhidong, Hu, Jiang, Pan, Guangming, Zhou, Wang
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Subjects: Beta matrices; CLT; LSD; Multivariate statistical analysis
• Online Access: https://hdl.handle.net/10356/80954; http://hdl.handle.net/10220/38995
• Institution: Nanyang Technological University

Let Bn=Sn(Sn+αnTN)−1, where Sn and TN are two independent sample covariance matrices with dimension p and sample sizes n and N, respectively. This is the so-called Beta matrix. In this paper, we focus on the limiting spectral distribution function and the central limit theorem of linear spectral sta...