Limiting spectral distribution of normalized sample covariance matrices with p/n→0

We consider a type of normalized sample covariance matrix without independence in columns, and derive the limiting spectral distribution when the number of variables p and the sample size n satisfy that p→∞, n→∞, and p/n→0. This result is a supplement to the corresponding result under the case that p/n→c∈(0,∞), which was obtained by Bai and Zhou (2008).

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Year of publication:	2013
Authors:	Xie, Junshan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 543-550
Publisher:	Elsevier
Subject:	Normalized sample covariance matrices \| Limiting spectral distribution \| Stieltjes transform

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

Persistent link: https://www.econbiz.de/10011039963