CLT FOR LINEAR SPECTRAL STATISTICS OF LARGE-DIMENSIONAL SAMPLE COVARIANCE MATRICES

@inproceedings{Bai2008CLTFL,
  title={CLT FOR LINEAR SPECTRAL STATISTICS OF LARGE-DIMENSIONAL SAMPLE COVARIANCE MATRICES},
  author={Zhidong Bai and Jack W. Silverstein},
  year={2008}
}
Let Bn = (1/N)T 1/2 n XnX∗ nT 1/2 n where Xn = (Xij ) is n × N with i.i.d. complex standardized entries having finite fourth moment, and T 1/2 n is a Hermitian square root of the nonnegative definite Hermitian matrix Tn. The limiting behavior, as n → ∞ with n/N approaching a positive constant, of functionals of the eigenvalues of Bn, where each is given equal weight, is studied. Due to the limiting behavior of the empirical spectral distribution of Bn, it is known that these linear spectral… 
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