A note on the convergence rate of the spectral distributions of large random matrices

In this note we show that the spectral distribution of large dimensional Wigner matrix tends to the semicircular law with a convergence rate of Op(n-1/4). Similar results for sample covariance matrix are also given.

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Year of publication:	1997
Authors:	Bai, Z. D. ; Miao, Baiqi ; Tsay, Jhishen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 34.1997, 1, p. 95-101
Publisher:	Elsevier
Keywords:	Convergence rate Marcenko-Pastur law Random matrices Sample covariance matrix Semicircular law Wigner matrix

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319804