Eigenvalue distributions of variance components estimators in high-dimensional random effects models

DOI10.1214/18-AOS1767zbMath1431.62066arXiv1607.02201WikidataQ92966567 ScholiaQ92966567MaRDI QIDQ2328062

Iain M. Johnstone, Zhou Fan

Publication date: 9 October 2019

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

Full work available at URL: https://arxiv.org/abs/1607.02201

zbMATH Keywords

random matrix theory; free probability; covariance estimation; deterministic equivalents; Marcenko-Pastur equation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

60B20: Random matrices (probabilistic aspects)

15A18: Eigenvalues, singular values, and eigenvectors

62J10: Analysis of variance and covariance (ANOVA)

Uses Software

• SPECTRODE
• GCTA