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- W4385005429 abstract "We consider the spectrum of the Sample Covariance matrix $mathbf{A}_N:= frac{mathbf{X}_N mathbf{X}_N^*}{N}, $ where $mathbf{X}_N$ is the $Ptimes N$ matrix with i.i.d. half-heavy tailed entries and $frac{P}{N}to y>0$ (the entries of the matrix have variance, but do not have the fourth moment). We derive the Central Limit Theorem for the Stieltjes transform of the matrix $mathbf{A}_N$ and compute the covariance kernel. Apart from that, we derive the Central Limit Theorem for the Stieltjes transform of overlapping Sample Covariance matrices." @default.
- W4385005429 created "2023-07-22" @default.
- W4385005429 creator A5085249432 @default.
- W4385005429 date "2023-07-20" @default.
- W4385005429 modified "2023-10-17" @default.
- W4385005429 title "Central Limit Theorem for traces of the resolvents of half-heavy tailed Sample Covariance matrices" @default.
- W4385005429 doi "https://doi.org/10.48550/arxiv.2307.10848" @default.
- W4385005429 hasPublicationYear "2023" @default.
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