The rate of convergence of spectra of sample covariance matrices

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dc.creatorGötze, F.
dc.creatorTikhomirov, A.
dc.date2007-12-21
dc.date.accessioned2026-07-07T08:50:54Z
dc.date.available2026-07-07T08:50:54Z
dc.descriptionIt is shown that the Kolmogorov distance between the spectral distribution function of a random covariance matrix $\frac1p XX^T$, where $X$ is a $n\times p$ matrix with independent entries and the distribution function of the Marchenko-Pastur law is of order $O(n^{-1/2})$. The bounds hold {\it uniformly} for any $p$, including $\frac pn$ equal or close to 1.
dc.identifierhttps://arxiv.org/abs/0712.3725
dc.identifierhttp://arxiv.org/abs/0712.3725
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/144760
dc.subjectProbability
dc.subjectSpectral Theory
dc.subject60B99
dc.titleThe rate of convergence of spectra of sample covariance matrices
dc.typetext

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