A note on the convergence rate of the spectral distributions of large random matrices

Z. D. Bai, Baiqi Miao and Jhishen Tsay

Statistics & Probability Letters, 1997, vol. 34, issue 1, 95-101

Abstract: In this note we show that the spectral distribution of large dimensional Wigner matrix tends to the semicircular law with a convergence rate of Op(n-1/4). Similar results for sample covariance matrix are also given.

Keywords: Convergence; rate; Marcenko-Pastur; law; Random; matrices; Sample; covariance; matrix; Semicircular; law; Wigner; matrix (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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