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random duality theory 2random matrix theory 2free probability 1Gaussian models 1high-dimensional statistics 1kronecker-gaussian matrices 1sample covariance 1spectral edges 1spectral norm 1

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math.ST2026

Precise sample covariance spectral norm error -- an RDT view

Mihailo Stojnic

The paper derives the exact limiting value of the spectral‑norm error of sample covariance matrices for centered Gaussian data, using a Random Duality Theory framework that provide…