Abstract
It is shown that the Kolmogorov distance between the spectral distribution function of a random covariance matrix (1/p)XXT, where X is an n×p matrix with independent entries and the distribution function of the Marchenko-Pastur law is of order O(n-1/2) in probability. The bound is explicit and requires that the twelfth moment of the entries of the matrix is uniformly bounded and that p/n is separated from 1.
Citation
Friedrich Götze. Alexander Tikhomirov. "Rate of convergence in probability to the Marchenko-Pastur law." Bernoulli 10 (3) 503 - 548, jun 2004. https://doi.org/10.3150/bj/1089206408
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