On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns

Published 16 Mar 2012 in math.PR | (1203.3749v1)

Abstract: We investigate the spectral distribution of large sample covariance matrices with independent columns and entries in the columns that stem from Markov chains. We characterize the limiting spectral densities by their moments. Correspondingly, the proof is based on a moment method.

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