Limit distributions of sample covariance matrices are compound free Poisson
Probability
2015-11-03 v1
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 norms converges weakly to a compound free Poisson distribution.
Keywords
Cite
@article{arxiv.1511.00049,
title = {Limit distributions of sample covariance matrices are compound free Poisson},
author = {M. Boedihardjo},
journal= {arXiv preprint arXiv:1511.00049},
year = {2015}
}