Central Limit Theorem for traces of the resolvents of half-heavy tailed Sample Covariance matrices

Svetlana Malysheva

We consider the spectrum of the Sample Covariance matrix ${\mathbf{A}}_N:=\frac{{\mathbf{X}}_N{\mathbf{X}}_N^{\ast }}{N},$ where ${\mathbf{X}}_N$ is the $P\times N$ matrix with i.i.d. half-he…