Limit distributions of sample covariance matrices are compound free Poisson

M. Boedihardjo

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arXiv · 1511.00049

Limit distributions of sample covariance matrices are compound free Poisson

M. Boedihardjo

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Abstract

We show that the empirical distribution of the eigenvalues of the sample covariance matrix of certain random vectors (not necessarily independent entries) with bounded marginal $L^{4}$ norms converges weakly to a compound free Poisson distribution.

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M. Boedihardjo. 2015-10-31. Limit distributions of sample covariance matrices are compound free Poisson. https://arxiv.org/abs/1511.00049

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