CLT for Linear Spectral Statistics
As mentioned in the introduction, many important statistics in multivariate analysis can be written as functionals of the ESD of some random matrices. The strong consistency of the ESD with LSD is not enough for more efficient statistical inferences, such as the test of hypotheses, confidence regions, etc. In this chapter, we shall introduce some results on deeper properties of the convergence of the ESD of large dimensional random matrices.
KeywordsCovariance Function Sample Covariance Matrix Wigner Matrice Wishart Matrix Sample Covariance Matrice
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