Central limit theorem of nonparametric estimate of spectral density functions of sample covariance matrices

Abstract

A consistent kernel estimator of the limiting spectral distribution of general sample covariance matrices was introduced in Jing, Pan, Shao and Zhou (2010). The central limit theorem of the kernel estimator is proved in this paper.

50 pages

References in corpus (1)

• Nonparametric estimate of spectral density functions of sample covariance matrices: A first step