A CLT for regularized sample covariance matrices

Details A CLT for regularized sample covariance matrices A CLT for regularized sample covariance matrices

2006-12-27

arxiv.org/abs/math/0612791v3

Annals of Statistics 2008, Vol. 36, No. 6, 2553-2576

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AOS503 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS503

We consider the spectral properties of a class of regularized estimators of (large) empirical covariance matrices corresponding to stationary (but not necessarily Gaussian) sequences, obtained by banding. We prove a law of large numbers (similar to that proved in the Gaussian case by Bickel and Levina), which implies that the spectrum of a banded empirical covariance matrix is an efficient estimator. Our main result is a central limit theorem in the same regime, which to our knowledge is new, even in the Gaussian setup.

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