Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
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Publication:1795566
DOI10.1016/j.jmva.2018.06.008zbMath1401.62087MaRDI QIDQ1795566
Publication date: 16 October 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2018.06.008
random matrix theory; spectrum estimation; covariance matrix estimation; two-sample problem; Marčenko-Pastur equation; high-dimensional asymptotics
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
60B20: Random matrices (probabilistic aspects)