Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
From MaRDI portal
Publication:1907827
DOI10.1006/jmva.1995.1083zbMath0851.62015OpenAlexW1969097180MaRDI QIDQ1907827
Publication date: 11 November 1996
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/ee54b5db5504ebf9a5b6e6ca75b718baa34f0186
Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Strong limit theorems (60F15) Random matrices (algebraic aspects) (15B52)
Related Items (only showing first 100 items - show all)
Direct shrinkage estimation of large dimensional precision matrix ⋮ CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data ⋮ Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix ⋮ CLT for linear spectral statistics of large-dimensional sample covariance matrices. ⋮ Large sample behaviour of high dimensional autocovariance matrices ⋮ On the empirical distribution of eigenvalues of large dimensional information-plus-noise-type matrices ⋮ Quadratic shrinkage for large covariance matrices ⋮ On asymptotics of eigenvectors of large sample covariance matrix ⋮ Gaussian fluctuations for linear spectral statistics of large random covariance matrices ⋮ Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA ⋮ A CLT for information-theoretic statistics of Gram random matrices with a given variance profile ⋮ The spectrum of kernel random matrices ⋮ CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions ⋮ A supplement on CLT for LSS under a large dimensional generalized spiked covariance model ⋮ Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis ⋮ On limit theorem for the eigenvalues of product of two random matrices ⋮ Numerical implementation of the QuEST function ⋮ On the limiting spectral distribution of the covariance matrices of time-lagged processes ⋮ Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices ⋮ Local eigenvalue density for general MANOVA matrices ⋮ Distribution of singular values of random band matrices; Marchenko-Pastur law and more ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Estimation of the population spectral distribution from a large dimensional sample covariance matrix ⋮ Limiting spectral distribution for a type of sample covariance matrices ⋮ The convergence on spectrum of sample covariance matrices for information-plus-noise type data ⋮ High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation ⋮ Nonparametric estimate of spectral density functions of sample covariance matrices: a first step ⋮ Functional CLT for sample covariance matrices ⋮ On bilinear forms based on the resolvent of large random matrices ⋮ Universality in the bulk of the spectrum for complex sample covariance matrices ⋮ Spectral convergence for a general class of random matrices ⋮ Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix ⋮ Eigenvectors of some large sample covariance matrix ensembles ⋮ On the estimation of integrated covariance matrices of high dimensional diffusion processes ⋮ Analytical nonlinear shrinkage of large-dimensional covariance matrices ⋮ On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix ⋮ A note on a Marčenko-Pastur type theorem for time series ⋮ Convergence rates to the Marchenko-Pastur type distribution ⋮ Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension ⋮ Comparison between two types of large sample covariance matrices ⋮ Hypothesis testing for high-dimensional covariance matrices ⋮ On LR simultaneous test of high-dimensional mean vector and covariance matrix under non-normality ⋮ Central limit theorem for signal-to-interference ratio of reduced rank linear receiver ⋮ Limiting spectral distribution of a symmetrized auto-cross covariance matrix ⋮ High-dimensional covariance matrices in elliptical distributions with application to spherical test ⋮ Deterministic equivalents for certain functionals of large random matrices ⋮ Rapid evaluation of the spectral signal detection threshold and Stieltjes transform ⋮ Strong representation of weak convergence ⋮ Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes ⋮ Shrinkage estimation of large covariance matrices: keep it simple, statistician? ⋮ MANOVA for large hypothesis degrees of freedom under non-normality ⋮ Asymptotic distributions of the signal-to-interference ratio of LMMSE detection in multiuser communications ⋮ High-dimensional asymptotics of prediction: ridge regression and classification ⋮ Optimal estimation of a large-dimensional covariance matrix under Stein's loss ⋮ Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Inference in regression models with many regressors ⋮ Supersymmetry approach to Wishart correlation matrices: exact results ⋮ A note on the CLT of the LSS for sample covariance matrix from a spiked population model ⋮ Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues ⋮ Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications ⋮ Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Sphericity and identity test for high-dimensional covariance matrix using random matrix theory ⋮ The limiting spectral distribution of the product of the Wigner matrix and a nonnegative definite matrix ⋮ Spectral measures of spiked random matrices ⋮ Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges ⋮ Analysis of the limiting spectral distribution of large dimensional information-plus-noise type matrices ⋮ Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes ⋮ Operator norm consistent estimation of large-dimensional sparse covariance matrices ⋮ Spectrum estimation for large dimensional covariance matrices using random matrix theory ⋮ Estimation of two high-dimensional covariance matrices and the spectrum of their ratio ⋮ Regular variation and free regular infinitely divisible laws ⋮ On the empirical spectral distribution for matrices with long memory and independent rows ⋮ LLN for quadratic forms of long memory time series and its applications in random matrix theory ⋮ A well-conditioned estimator for large-dimensional covariance matrices ⋮ Nonlinear shrinkage estimation of large-dimensional covariance matrices ⋮ Local expectations of the population spectral distribution of a high-dimensional covariance matrix ⋮ A robust test for sphericity of high-dimensional covariance matrices ⋮ Hypothesis testing for the identity of high-dimensional covariance matrices ⋮ The polynomial method for random matrices ⋮ A result on the limiting spectral distribution of random matrices with unequal variance entries ⋮ On sample eigenvalues in a generalized spiked population model ⋮ Exact separation of eigenvalues of large dimensional sample covariance matrices ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix ⋮ Spectral distribution of large generalized random kernel matrices ⋮ Eigenvalue distributions of variance components estimators in high-dimensional random effects models ⋮ On spectral distribution of sample covariance matrices from large dimensional and large \(k\)-fold tensor products ⋮ Tracy-Widom at each edge of real covariance and MANOVA estimators ⋮ Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening ⋮ Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond ⋮ A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix ⋮ No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices ⋮ On the eigenvectors of large-dimensional sample spatial sign covariance matrices ⋮ CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures ⋮ Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing ⋮ On singular value distribution of large-dimensional autocovariance matrices ⋮ Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices ⋮ Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions ⋮ On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
This page was built for publication: Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices