Efficient computation of limit spectra of sample covariance matrices
From MaRDI portal
Publication:3459159
DOI10.1142/S2010326315500197zbMath1330.65029arXiv1507.01649OpenAlexW2220487585MaRDI QIDQ3459159
Publication date: 30 December 2015
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.01649
Stieltjes transformeigenvaluemultivariate statisticsdata analysisrandom matrixsample covariance matrixempirical spectral distributionlimiting spectral distributionhigh-dimensional statistics
Multivariate distribution of statistics (62H10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)
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Cites Work
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