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


  • Xie, Junshan


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).

Suggested Citation

  • Xie, Junshan, 2013. "Limiting spectral distribution of normalized sample covariance matrices with p/n→0," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 543-550.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:543-550
    DOI: 10.1016/j.spl.2012.10.014

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    References listed on IDEAS

    1. 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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