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

作者：Xie Junshan^*

来源：Statistics & Probability Letters, 2013, 83(2): 543-550.

DOI：10.1016/j.spl.2012.10.014

• Normalized sample covariance matrices
• Limiting spectral distribution
• Stieltjes transform

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 -> infinity, n -> infinity, and p/n -> 0. This result is a supplement to the corresponding result under the case that p/n -> c is an element of (0, infinity), which was obtained by Bai and Zhou (2008).

• 出版日期2013-2
• 单位河南大学