Abstract
We study classical ensembles of sample covariance matrices introduced by Wishart. We discuss Stein's method for the asymptotic approximation of expectations of functions of the normalized eigenvalue counting measure for high-dimensional matrices. The method is based on a differential equation for the density of the Marchenko-Pastur law. Bibliography: 19 titles.
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Published in Zapiski Nauchnykh Seminarov POMI, Vol. 311, 2004, pp. 92–123.
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Gotze, F., Tikhomirov, A. Limit Theorems for Spectra of Positive Random Matrices under Dependence. J Math Sci 133, 1257–1276 (2006). https://doi.org/10.1007/s10958-006-0035-8
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DOI: https://doi.org/10.1007/s10958-006-0035-8