Spectrum estimation for large dimensional covariance matrices using random matrix theory

DOI10.1214/07-AOS581zbMath1168.62052arXivmath/0609418MaRDI QIDQ1000306

Noureddine El Karoui

Publication date: 6 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0609418

zbMATH Keywords

Stieltjes transformconvex optimizationhigh-dimensional inferenceprincipal components analysisMarčenko-Pastur equationeigenvalues of covariance matrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Convex programming (90C25) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Graphical methods in statistics (62A09)

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Uses Software

• Mosek
• PDCO

Cites Work

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