MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures

DOI10.1016/j.csda.2019.06.011MaRDI QIDQ2007993

Lucilio Cordero-Grande

Publication date: 22 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.05575

zbMATH Keywords

random matrix theory; numerical solutions; asymptotic eigenvalue distribution; generalized Marčenko-Pastur equations; large-dimensional statistics

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

60B20: Random matrices (probabilistic aspects)

60-08: Computational methods for problems pertaining to probability theory

15B52: Random matrices (algebraic aspects)

Uses Software

• SPECTRODE
• RMTool
• OptShrink
• QuEST