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Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution
Published 23 Nov 2011 in math.ST, math.PR, and stat.TH | (1111.5420v1)
Abstract: A central limit theorem (CLT) for the smoothed empirical spectral distribution of sample covariance matrices is established. Moreover, the CLTs for the smoothed quantiles of Marcenko and Pastur's law have been also developed.
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