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 transform; convex optimization; high-dimensional inference; principal components analysis; Marčenko-Pastur equation; eigenvalues of covariance matrices

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

90C25: Convex programming

15A18: Eigenvalues, singular values, and eigenvectors

15B52: Random matrices (algebraic aspects)

62A09: Graphical methods in statistics

Uses Software

• Mosek
• PDCO