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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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