Spectral analysis of high-dimensional sample covariance matrices with missing observations
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Publication:2405114
DOI10.3150/16-BEJ815zbMath1388.62152arXiv1507.01615MaRDI QIDQ2405114
Publication date: 21 September 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.01615
Stieltjes transformlimiting spectral distributionMarčenko-Pastur lawalmost sure convergence of extremal eigenvaluescharacterization of positive definitenesssample covariance matrix with missing observations
Applications of statistics to environmental and related topics (62P12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (probabilistic aspects) (60B20) Convergence of probability measures (60B10)
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