CONVERGENCE RATE OF EXPECTED SPECTRAL DISTRIBUTIONS OF LARGE RANDOM MATRICES .2. SAMPLE COVARIANCE MATRICES
成果类型：
Article
署名作者：
BAI, ZD
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989262
发表日期：
1993
页码：
649-672
关键词：
摘要：
In the first part of the paper, we developed certain inequalities to bound the difference between distributions in terms of their Stieltjes transforms and established a convergence rate of expected spectral distributions of large Wigner matrices. The second part is devoted to establishing convergence rates for the sample covariance matrices, for the cases where the ratio of the dimension to the degrees of freedom is bounded away from 1 or close to 1, respectively.