Quantitative spectral rate for the normal-scores covariance

From papers

Let S^n\widehat{\bm{S}}_n be the normal-scores covariance, and let mnm_n and mFm_F denote its empirical Stieltjes transform and the limiting generalized Marčenko--Pastur Stieltjes transform, respectively. Assume --. Quantitative spectral rate. There is a constant C>0C>0 such that, for every fixed η0>0\eta_0>0,

supzη0mn(z)mF(z)=OP(n1/2),\sup_{\Im z\ge\eta_0}|m_n(z)-m_F(z)|=O_{\mathbb{P}}(n^{-1/2}),

and, more generally, a local Marčenko--Pastur law holds for S^n\widehat{\bm{S}}_n down to spectral scales zn1+ε\Im z\gtrsim n^{-1+\varepsilon}. Establishing this would require an anisotropic/local-law analysis tracking the rank-perturbation error inside the resolvent; this rate is not established by the results stated in the paper.

Progress summary

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Sources & referencesView supporting material

Primary source

Hamid Karamikabir and Mohammad Arashi, “Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications”, arXiv:2607.19825 (2026).

Solutions 0

No solutions have been posted yet.