Year: 2012
Type: preprint
Abstract: It is known (Hofmann-Credner and Stolz (2008)) that the convergence of the mean empirical spectral distribution of a sample covariance matrix W_n = 1/n Y_n Y_n^t to the Marčenko-Pastur law remains unaffected if the rows and columns of Y_n exhibit some dependence, where only the growth of the number of dependent entries, but not the joint distribution of dependent entries needs to be controlled. In this paper we show that the well-known CLT for traces of powers of W_n also extends to the dependent case.
Source: arXiv (Cornell University)
Authors: Friesen, Olga, Löwe, Matthias, Stolz, Michael
Institutions: University of Münster, Ruhr University Bochum
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Awards: G1113938619, G2151249520, G3754143138
OpenAlex ID: W2950740644