Canonical spectral equation for empirical covariance matrices
We study asymptotic properties of normalized spectral functions of empirical covariance matrices in the case of a nonnormal population. It is shown that the Stieltjes transforms of such functions satisfy a socalled canonical spectral equation.
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| Datum: | 1995 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Ukrainisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
1995
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/5517 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | We study asymptotic properties of normalized spectral functions of empirical covariance matrices in the case of a nonnormal population. It is shown that the Stieltjes transforms of such functions satisfy a socalled canonical spectral equation. |
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