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

DOI10.1016/J.JSPI.2013.06.017MaRDI QIDQ394089zbMATHOpenAlexFDO

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)

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

zbMATH Keywords

high-dimensional data analysisempirical spectral distributionStieltjes transformslarge sample covariance matricesMarčenko-Pastur distribution

Mathematics Subject Classification ID

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

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.

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Cited in

(21)

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

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