Large Sample Covariance Matrices of Gaussian Observations with Uniform Correlation Decay

Michael Fleermann, Johannes Heiny

We derive the Marchenko-Pastur (MP) law for sample covariance matrices of the form $V_n=\frac{1}{n}X{X}^T$, where $X$ is a $p\times n$ data matrix and $p/n\to y\in (0,\infty )$ as $n,p…