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 Electronic Communications in Probability > Vol. 5 (2000) > Paper 8 open journal systems 


A Weak Law of Large Numbers for the Sample Covariance Matrix

Steven J. Sepanski, Saginaw Valley State University
Zhidong Pan, Saginaw Valley State University


Abstract
In this article we consider the sample covariance matrix formed from a sequence of independent and identically distributed random vectors from the generalized domain of attraction of the multivariate normal law. We show that this sample covariance matrix, appropriately normalized by a nonrandom sequence of linear operators, converges in probability to the identity matrix.


Full text: PDF

Pages: 73-76

Published on: March 20, 2000


Bibliography
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  4. Sepanski, Steven J. (1994) Necessary and sufficient conditions for the multivariate bootstrap of the mean. Statist. Probab. Lett. 19 , no. 3, 205--216. Math. Review 95d:62067
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Electronic Communications in Probability. ISSN: 1083-589X