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Canonical spectral equation for empirical covariance matrices

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Ukrainian Mathematical Journal Aims and scope

Abstract

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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References

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Authors and Affiliations

  1. Kiev University, Kiev

    V. L. Girko

Authors
  1. V. L. Girko
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Additional information

Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 9, pp. 1176–1189, September, 1995.

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Girko, V.L. Canonical spectral equation for empirical covariance matrices. Ukr Math J 47, 1341–1355 (1995). https://doi.org/10.1007/BF01057509

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  • DOI: https://doi.org/10.1007/BF01057509

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