Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix

Taras Bodnar, Holger Dette, Nestor Parolya

For a sample of $n$ independent identically distributed $p$-dimensional centered random vectors with covariance matrix ${\mathbf{\Sigma }}_n$ let ${\tilde{\mathbf{S}}}_n$ denote the usual samp…