Gaussian fluctuations for sample covariance matrices with dependent data

Olga Friesen, Matthias Löwe, Michael Stolz

Type: Article

Publication Date: 2012-08-08

Citations: 10

DOI: https://doi.org/10.1016/j.jmva.2012.08.004

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Journal of Multivariate Analysis - View
arXiv (Cornell University) - View - PDF

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Works Cited by This (9)

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+	Some limit theorems for the eigenvalues of a sample covariance matrix	1982	Dag Jonsson
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+ PDF Chat	Limiting spectral distribution of XX' matrices	2010	Arup Bose Sreela Gangopadhyay Arnab Sen
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+	On fluctuations of eigenvalues of random Hermitian matrices	1998	Kurt Johansson
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+ PDF Chat	Tracy–Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices	2007	Noureddine El Karoui