Limiting spectral distribution of normalized sample covariance matrices with p/n→0
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).
Volume (Year): 83 (2013)
Issue (Month): 2 ()
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- Bao, Zhigang, 2012. "Strong convergence of ESD for the generalized sample covariance matrices when p/n→0," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 894-901.
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