کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152382 958282 2012 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Strong convergence of ESD for the generalized sample covariance matrices when p/n→0p/n→0
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Strong convergence of ESD for the generalized sample covariance matrices when p/n→0p/n→0
چکیده انگلیسی

Let X=[Xij]p×nX=[Xij]p×n be a p×np×n random matrix whose entries are i.i.d real random variables satisfying the moment condition EX114<∞. Let TT be a p×pp×p deterministic nonnegative definite matrix. It is assumed that the empirical distribution of the eigenvalues of TT converges weakly to a probability distribution. We consider the renormalized sample covariance matrix H̃=np(1nT1/2XXtT1/2−T) in the case of p/n→0p/n→0 as p,n→∞p,n→∞. We study the limiting spectral distribution of H̃ in this paper. The limiting distribution is shown to be coincident with the case of a generalized Wigner matrix considered in Bai and Zhang (2010).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 82, Issue 5, May 2012, Pages 894–901
نویسندگان
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