Estimation of the population spectral distribution from a large dimensional sample covariance matrix

DOI10.1016/J.JSPI.2013.06.017zbMATH Open1278.62079arXiv1302.0355OpenAlexW1719864454MaRDI QIDQ394089FDOQ394089

Authors: Jiaqi Chen, Weiming Li, Yingli Qin, Zhidong Bai, Jian-Feng Yao 

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: This paper introduces a new method to estimate the spectral distribution of a population covariance matrix from high-dimensional data. The method is founded on a meaningful generalization of the seminal Marcenko-Pastur equation, originally defined in the complex plan, to the real line. Beyond its easy implementation and the established asymptotic consistency, the new estimator outperforms two existing estimators from the literature in almost all the situations tested in a simulation experiment. An application to the analysis of the correlation matrix of S&P stocks data is also given.

Full work available at URL: https://arxiv.org/abs/1302.0355

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zbMATH Keywords

high-dimensional data analysisempirical spectral distributionStieltjes transformslarge sample covariance matrices[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mar%EF%BF%BD%EF%BF%BDenko-Pastur+distribution&go=Go Mar��enko-Pastur distribution]

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (17)

• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
• A local moment estimator of the spectrum of a large dimensional covariance matrix
• The application of spectral distribution of product of two random matrices in the factor analysis
• Local expectations of the population spectral distribution of a high-dimensional covariance matrix
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
• Testing the order of a population spectral distribution for high-dimensional data
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• Limiting spectral distribution of high-dimensional noncentral Fisher matrices and its analysis
• Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
• Large System Spectral Analysis of Covariance Matrix Estimation
• Matrix means and a novel high-dimensional shrinkage phenomenon
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Hypothesis testing for high-dimensional covariance matrices
• On spectral distribution of sample covariance matrices from large dimensional and large \(k\)-fold tensor products
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• Numerical implementation of the QuEST function

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