Kernel estimators for Mar c ˘ enko–Pastur law of quaternion sample covariance matrices

Lifang Yang and Jiang Hu

Statistics & Probability Letters, 2017, vol. 126, issue C, 230-237

Abstract: In this paper, we introduce kernel estimators for the Marc˘enko–Pastur law of quaternion sample covariance matrix, which is an extension from real and complex ones. Especially, we indicate that the classical empirical spectral distributions of the quaternion sample covariance matrices still tend to Marc˘enko–Pastur law when their elements have infinite variances, but are in the domain of attraction of normal law.

Keywords: Kernel estimator; Quaternion sample covariance matrix; Marc˘enko–Pastur law (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.03.015

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