关于大维样本协方差矩阵经验谱分布极限性质的研究

A note on asymptotic properties of the empirical spectral distribution of a large sample covariance matrix

讨论大维样本协方差矩阵经验谱分布的收敛性。在维容比可能不存在极限的情况下,得到了经验谱分布Stieltjes变换的强收敛定理。

This paper discusses the convergence of the empirical spectral distribution of a large sample covariance matrix.We derive the strong convergence of the Stieltjes transform of the empirical spectral distribution when the limit of dimension-to-sample size ratio does not exist.