Necessary and sufficient conditions for the Marcĕnko–Pastur law for sample correlation matrices

Zhaorui Dong and Jianfeng Yao

Statistics & Probability Letters, 2025, vol. 221, issue C

Abstract: Necessary and sufficient conditions are found for the Marcĕnko–Pastur law to hold for a fairly general class of sample correlation matrices under different moment conditions.

Keywords: Marcĕko–Pastur law; Sample covariance matrix; Sample correlation matrix; Necessary and sufficient conditions (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110377

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