Limiting spectral distribution of normalized sample covariance matrices with p/n→0

Junshan Xie

Statistics & Probability Letters, 2013, vol. 83, issue 2, 543-550

Abstract: We consider a type of normalized sample covariance matrix without independence in columns, and derive the limiting spectral distribution when the number of variables p and the sample size n satisfy that p→∞, n→∞, and p/n→0. This result is a supplement to the corresponding result under the case that p/n→c∈(0,∞), which was obtained by Bai and Zhou (2008).

Keywords: Normalized sample covariance matrices; Limiting spectral distribution; Stieltjes transform (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715212003860
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:2:p:543-550

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2012.10.014

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().