Large System Spectral Analysis of Covariance Matrix Estimation

DOI10.1109/TIT.2008.2011440MaRDI QIDQ4975782zbMATH OpenOpenAlexFDO

Authors Husheng Li, H. Vincent Poor

Publication date 8 August 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2008.2011440

Mathematics Subject Classification ID

Combinatorial aspects of partitions of integers (05A17) Eigenvalues, singular values, and eigenvectors (15A18) Inference from stochastic processes and spectral analysis (62M15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• scientific article; zbMATH DE number 6719853
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix
• An overview of the estimation of large covariance and precision matrices
• Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Large covariance and autocovariance matrices
• Regularized estimation of large covariance matrices
• Large-Scale Estimation of Variance and Covariance Components

Cited in

(1)

• Convergence rates to the Marchenko-Pastur type distribution

This page was built for publication: Large System Spectral Analysis of Covariance Matrix Estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4975782)