Numerical simulation for functions of sample covariance matrices

DOI10.1007/S10958-013-1237-5MaRDI QIDQ354867zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 919369 (Why is no real title available?)
• Application aspects of G-analysis
• Multivariate statistical analysis. A high-dimensional approach
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Spectral theory of random matrices
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• The method of a small parameter in flows of a gas containing dust

Cited in

(4)

• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
• Fitting covariance matrix models to simulations
• scientific article; zbMATH DE number 2147973 (Why is no real title available?)
• Numerical instability of calculating inverse of spatial covariance matrices

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