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

DOI10.1109/TIT.2012.2222862MaRDI QIDQ2989435zbMATH OpenOpenAlexFDO

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)

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)

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.

Cited in

(4)

• scientific article; zbMATH DE number 4149389 (Why is no real title available?)
• Spiked sample covariance matrices with possibly multiple bulk components
• Local expectations of the population spectral distribution of a high-dimensional covariance matrix
• Random matrix-improved estimation of covariance matrix distances

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