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

DOI10.1016/J.JMVA.2011.05.005MaRDI QIDQ634554zbMATH OpenOpenAlexFDO

Authors Jiaqi Chen, Bernard Delyon, Jian-Feng Yao

Publication date 16 August 2011

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/135512

zbMATH Keywords

high-dimensional datacross-validationorder selectionlarge sample covariance matricesMarčenko-Pastur distribution

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 5691097 (Why is no real title available?)
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Concentration inequalities for the spectral measure of random matrices
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• On the distribution of the largest eigenvalue in principal components analysis
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Statistical eigen-inference from large Wishart matrices

Cited in

(5)

• Estimation of the population spectral distribution from a large dimensional sample covariance matrix
• Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
• Numerical implementation of the QuEST function
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Random matrix theory in statistics: a review

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