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

DOI10.1016/j.jspi.2013.06.017zbMath1278.62079arXiv1302.0355OpenAlexW1719864454MaRDI QIDQ394089

Jiaqi Chen, Jian-feng Yao, Ying-Li Qin, Zhi-Dong Bai, Wei-Ming Li

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

empirical spectral distributionMarčenko-Pastur distributionStieltjes transformshigh-dimensional data analysislarge sample covariance matrices

Mathematics Subject Classification ID

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