On the Rate of Convergence to the Marchenko--Pastur Distribution

Abstract

Let $\mathbf X=(X_{jk})$ denote $n\times p$ random matrix with entries $X_{jk}$, which are independent for $1\le j\le n,1\le k\le p$. We consider the rate of convergence of empirical spectral distribution function of the matrix $\mathbf W=\frac1p\mathbf X\mathbf X^*$ to the Marchenko--Pastur law. We assume that $\mathbf E X_{jk}=0$, $\mathbf E X_{jk}^2=1$ and that the distributions of the matrix elements $X_{jk}$ have a uniformly sub exponential decay in the sense that there exists a constant $\varkappa>0$ such that for any $1\le j \le n,\,1\le k\le p $ and any $t\ge 1$ we have $$ \mathbf{ Pr}\{|X_{jk}|>t\}\le \varkappa^{-1}\exp\{-t^{\varkappa}\}. $$ By means of a recursion argument it is shown that the Kolmogorov distance between the empirical spectral distribution of the sample covariance matrix $\mathbf W$ and the Marchenko--Pastur distribution is of order $O(n^{-1}\log^{4+\frac4{\varkappa}} n)$ with high probability.