Wang, Lili; Paul, Debashis - In: Journal of Multivariate Analysis 126 (2014) C, pp. 25-52
We are concerned with the behavior of the eigenvalues of renormalized sample covariance matrices of the form Cn=np(1nAp1/2XnBnXn∗Ap1/2−1ntr(Bn)Ap) as p,n→∞ and p/n→0, where Xn is a p×n matrix with i.i.d. real or complex valued entries Xij satisfying E(Xij)=0, E|Xij|2=1 and having...
