Canonical spectral equation for empirical covariance matrices

  • V. L. Girko

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.
Published
25.09.1995
How to Cite
GirkoV. L. “Canonical Spectral Equation for Empirical Covariance Matrices”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 47, no. 9, Sept. 1995, pp. 1176–1189, https://umj.imath.kiev.ua/index.php/umj/article/view/5517.
Section
Research articles