Spectrum estimation for large dimensional covariance matrices using random matrix theory

Annals of Statistics

Volumn 36, Issue 6, 2008, Pages 2757-2790

  El Karoui, Noureddine ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Convex optimization; Covariance matrices; Eigenvalues of co variance matrices; High dimensional inference; Mar enko Pastur equation; Principal component analysis; Random matrix theory; Stieltjes transform

Indexed keywords

EID: 62349116164     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/07-AOS581     Document Type: Article

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