Estimation of the population spectral distribution from a large dimensional sample covariance matrix

Journal of Statistical Planning and Inference

Volumn 143, Issue 11, 2013, Pages 1887-1897

  Li, Weiming ^a   Chen, Jiaqi ^b   Qin, Yingli ^c   Bai, Zhidong ^d,e   Yao, Jianfeng ^f  

^a BEIJING UNIVERSITY OF POSTS AND TELECOMMUNICATIONS   (China)

^b HARBIN INSTITUTE OF TECHNOLOGY   (China)

^c UNIVERSITY OF WATERLOO   (Canada)

^d NORTHEAST NORMAL UNIVERSITY   (China)

^e NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^f UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Empirical spectral distribution; High dimensional data analysis; Large sample covariance matrices; Mar enko Pastur distribution; Stieltjes transform

Indexed keywords

EID: 84883302026     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2013.06.017     Document Type: Article

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