Facebook Instagram Twitter RSS Feed PodBean Back to top on side

Limit theorems for the counting function of eigenvalues up to edge in covariance matrices

In: Mathematica Slovaca, vol. 65, no. 1
Junshan Xie

Details:

Year, pages: 2015, 199 - 214
Keywords:
covariance matrices, central limit theorem, moderate deviation principle, four moment theorem
About article:
We consider the number of eigenvalues which fall into an interval for the complex sample covariance matrices. The central limit theorem and a moderate deviation principle are established when the endpoint of the interval is close to the edge of the spectrum. The proofs depend on the Four Moment Theorem about the local statistics of eigenvalues up to edge, and the rigidity theorem of the eigenvalues for sample covariance matrices.
How to cite:
ISO 690:
Xie, J. 2015. Limit theorems for the counting function of eigenvalues up to edge in covariance matrices. In Mathematica Slovaca, vol. 65, no.1, pp. 199-214. 0139-9918. DOI: https://doi.org/10.1515/ms-2015-0017

APA:
Xie, J. (2015). Limit theorems for the counting function of eigenvalues up to edge in covariance matrices. Mathematica Slovaca, 65(1), 199-214. 0139-9918. DOI: https://doi.org/10.1515/ms-2015-0017
About edition:
Published: 1. 2. 2015