Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution

Details Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution

2011-11-23

arxiv.org/abs/1111.5420v1

Mathematics

Statistics Theory

52 pages

Scientific paper

A central limit theorem (CLT) for the smoothed empirical spectral
distribution of sample covariance matrices is established. Moreover, the CLTs
for the smoothed quantiles of Marcenko and Pastur's law have been also
developed.

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