On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns

Details On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns

2012-03-16

arxiv.org/abs/1203.3749v1

Mathematics

Probability

21 pages

Scientific paper

We investigate the spectral distribution of large sample covariance matrices
with independent columns and entries in the columns that stem from Markov
chains. We characterize the limiting spectral densities by their moments.
Correspondingly, the proof is based on a moment method.

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