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Limiting spectral distribution 1 Normalized sample covariance matrices 1 Stieltjes transform 1
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Xie, Junshan 1
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Statistics & Probability Letters 1
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Limiting spectral distribution of normalized sample covariance matrices with p/n→0
Xie, Junshan - In: Statistics & Probability Letters 83 (2013) 2, pp. 543-550
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...
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