CLT for linear spectral statistics of large-dimensional sample covariance matrices
Bai, Z. D. ; Silverstein, Jack W.
Ann. Probab., Tome 32 (2004) no. 1A, p. 553-605 / Harvested from Project Euclid
Let $B_n=(1/N)T_n^{1/2}X_nX_n^*T_n^{1/2}$ where $X_n=(X_{ij})$ is $n\times N$ with i.i.d. complex standardized entries having finite fourth moment, and $T_n^{1/2}$ is a Hermitian square root of the nonnegative definite Hermitian matrix $T_n$. The limiting behavior, as $n\to\infty$ with $n/N$ approaching a positive constant, of functionals of the eigenvalues of $B_n$, where each is given equal weight, is studied. Due to the limiting behavior of the empirical spectral distribution of $B_n$, it is known that these linear spectral statistics converges a.s. to a nonrandom quantity. This paper shows their rate of convergence to be $1/n$ by proving, after proper scaling, that they form a tight sequence. Moreover, if $\expp X^2_{11}=0$ and $\expp|X_{11}|^4=2$, or if $X_{11}$ and $T_n$ are real and $\expp X_{11}^4=3$, they are shown to have Gaussian limits.
Publié le : 2004-01-14
Classification:  Linear spectral statistics,  random matrix,  empirical distribution function of eigenvalues,  Stieltjes transform,  15A52,  60F05,  62H99
@article{1078415845,
     author = {Bai, Z. D. and Silverstein, Jack W.},
     title = {CLT for linear spectral statistics of large-dimensional sample covariance matrices},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 553-605},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1078415845}
}
Bai, Z. D.; Silverstein, Jack W. CLT for linear spectral statistics of large-dimensional sample covariance matrices. Ann. Probab., Tome 32 (2004) no. 1A, pp.  553-605. http://gdmltest.u-ga.fr/item/1078415845/