Universality of sample covariance matrices: CLT of the smoothed empirical spectral distribution

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.

52 pages

References in corpus (3)

• Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
• Universality of Random Matrices and Local Relaxation Flow
• The local relaxation flow approach to universality of the local statistics for random matrices

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