A note on the convergence rate of the spectral distributions of large random matrices

被引：11
|
作者：
Bai, ZD
Miao, BQ
Tsay, JS
机构：
[1] NATL SUN YAT SEN UNIV,DEPT MATH APPL,KAOHSIUNG 80424,TAIWAN
[2] UNIV SCI & TECHNOL CHINA,DEPT STAT & FINANCE,HEFEI 230026,ANHUI,PEOPLES R CHINA
来源：
STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 01期
基金：
中国国家自然科学基金;
关键词：
convergence rate; Marcenko-Pastur law; random matrices; sample covariance matrix; semicircular law; Wigner matrix;
D O I：
10.1016/S0167-7152(96)00170-8
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this note we show that the spectral distribution of large dimensional Wigner matrix tends to the semicircular law with a convergence rate of O-p(n(-1/4)), Similar results for sample covariance matrix are also given.
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页码：95 / 101
页数：7
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