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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| Date: | 1995 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1995
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/5517 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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