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- Title
Extended proof of the statement: Convergence rate of expected spectral functions of the sample covariance matrix &Rcirc;[subm[subn]] (n) is equal to O(n[sup-1/2]) under the condition m[subn]n[sup-1] ≤ c<1 and the method of critical steepest descent.
- Authors
Girko, V.L.
- Abstract
Discusses the convergence rate of the normalized spectral functions (NSF) of empirical covariance matrices to the corresponding NSF of Gaussian Gram random matrices. Basic properties of the Laguerre polynomials; Method of steepest descent; Auxiliary estimators of the integral.
- Subjects
GAUSSIAN distribution; LAGUERRE polynomials; METHOD of steepest descent (Numerical analysis); ESTIMATION theory
- Publication
Random Operators & Stochastic Equations, 2002, Vol 10, Issue 4, p351
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose.2002.10.4.351