Fluctuations of an Improved Population Eigenvalue Estimator in Sample Covariance Matrix Models

DOI10.1109/TIT.2012.2222862zbMATH Open1364.62129arXiv1108.5266OpenAlexW1977959565MaRDI QIDQ2989435FDOQ2989435

Authors: R. Couillet, Jamal Najim, Mérouane Debbah, Jian-Feng Yao 

Publication date: 8 June 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: This article provides a central limit theorem for a consistent estimator of population eigenvalues with large multiplicities based on sample covariance matrices. The focus is on limited sample size situations, whereby the number of available observations is known and comparable in magnitude to the observation dimension. An exact expression as well as an empirical, asymptotically accurate, approximation of the limiting variance is derived. Simulations are performed that corroborate the theoretical claims. A specific application to wireless sensor networks is developed.

Full work available at URL: https://arxiv.org/abs/1108.5266

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Channel models (including quantum) in information and communication theory (94A40)

Cited In (4)

• Title not available (Why is that?)
• Random matrix-improved estimation of covariance matrix distances
• Spiked sample covariance matrices with possibly multiple bulk components
• Local expectations of the population spectral distribution of a high-dimensional covariance matrix

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