Geodesic
Spectral properties of sample covariance matrices
Teoriâ veroâtnostej i ee primeneniâ, Tome 40 (1995) no. 4, pp. 910-919

Voir la notice de l'article provenant de la source Math-Net.Ru

The expectation value of the resolvents of sample covariance matrices and the variance of their matrix elements are investigated. It is assumed only that variables have zero expectation values and the maximal fourth moment of variables exists. The principal spectral equations obtained earlier only in the form of limit formulas are derived with upper estimates of the remainder terms, accurate up to absolute constants. The remainder terms prove to be small for large sample size and a small value of a special measure of the quadratic forms variance.
Keywords: spectral functions, sample covariance matrix, multivariate analysis, increasing dimension. 
@article{TVP_1995_40_4_a19,
     author = {V. I. Serdobol'skii},
     title = {Spectral properties of sample covariance matrices},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {910--919},
     publisher = {mathdoc},
     volume = {40},
     number = {4},
     year = {1995},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1995_40_4_a19/}
}
TY  - JOUR
AU  - V. I. Serdobol'skii
TI  - Spectral properties of sample covariance matrices
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 1995
SP  - 910
EP  - 919
VL  - 40
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_1995_40_4_a19/
LA  - ru
ID  - TVP_1995_40_4_a19
ER  - 
%0 Journal Article
%A V. I. Serdobol'skii
%T Spectral properties of sample covariance matrices
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1995
%P 910-919
%V 40
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_1995_40_4_a19/
%G ru
%F TVP_1995_40_4_a19
V. I. Serdobol'skii. Spectral properties of sample covariance matrices. Teoriâ veroâtnostej i ee primeneniâ, Tome 40 (1995) no. 4, pp. 910-919. http://geodesic.mathdoc.fr/item/TVP_1995_40_4_a19/