Numerical simulation for functions of sample covariance matrices

DOI10.1007/S10958-013-1237-5zbMATH Open1271.65068OpenAlexW2009937238MaRDI QIDQ354867FDOQ354867

Authors: A. I. Glusker, V. I. Serdobol'skij 

Publication date: 22 July 2013

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-013-1237-5

zbMATH Keywords

eigenvaluescovariance matricesspectral propertiesnumerical simulation method

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cites Work

• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Multivariate statistical analysis. A high-dimensional approach
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• Spectral theory of random matrices
• The method of a small parameter in flows of a gas containing dust
• Application aspects of G-analysis
• Title not available (Why is that?)

Cited In (4)

• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
• Fitting covariance matrix models to simulations
• Title not available (Why is that?)
• Numerical instability of calculating inverse of spatial covariance matrices

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