Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution
classification
🧮 math.ST
math.PRstat.TH
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smoothedcovariancedistributionempiricalmatricessamplespectralbeen
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A central limit theorem (CLT) for the smoothed empirical spectral distribution of sample covariance matrices is established. Moreover, the CLTs for the smoothed quantiles of Marcenko and Pastur's law have been also developed.
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