Bai, Z. D. Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices. (English) Zbl 0779.60025 Ann. Probab. 21, No. 2, 649-672 (1993). [For part I see the paper reviewed above.]This second part is devoted to establish convergence rate for the sample covariance matrices. If \(y\), the ratio of the dimension to the degrees of freedom (or sample size), is different from 0 and 1, the author establishes the order of \(O(n^{-1/4})\), and if \(y\) is close to 1, the order \(O(n^{-5/48})\). Reviewer: V.Sakalauskas (Kaunas) Cited in 3 ReviewsCited in 39 Documents MSC: 60F15 Strong limit theorems 62F15 Bayesian inference Keywords:Wigner matrix; convergence rate; sample covariance matrices Citations:Zbl 0779.60024 × Cite Format Result Cite Review PDF Full Text: DOI