Characteristic Polynomials of Sample Covariance Matrices: The Non-Square Case

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Kösters, Holger; (2009)
  • Subject: 15A52 | 62E20 | Mathematics - Probability | 60B99

We consider the sample covariance matrices of large data matrices which have i.i.d. complex matrix entries and which are non-square in the sense that the difference between the number of rows and the number of columns tends to infinity. We show that the second-order cor... View more
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