On a model selection problem from high-dimensional sample covariance matrices

Journal of Multivariate Analysis

Volumn 102, Issue 10, 2011, Pages 1388-1398

  Chen, J ^a   Delyon, B ^b   Yao, J F ^b,c  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b UNIVERSITÉ DE RENNES 1   (France)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Cross validation; High dimensional data; Large sample covariance matrices; Mar enko Pastur distribution; Order selection; Primary; Secondary

Indexed keywords

EID: 79960060259     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2011.05.005     Document Type: Article

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