scientific article; zbMATH DE number 919369

zbMATH Open0898.62081MaRDI QIDQ4889040FDOQ4889040

V. I. Serdobol'skij

Publication date: 30 October 1996

Title of this publication is not available (Why is that?)

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• Limiting spectral distribution for a type of sample covariance matrices
• The limiting spectral density of large dimensional sample covariance matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• The rate of convergence of spectra of sample covariance matrices

zbMATH Keywords

increasing dimensionvariancespectral functionsexpectationresolventssample covariance matricesprincipal spectral equations

Mathematics Subject Classification ID

Multivariate analysis (62H99)

Cited In (10)

• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• The resolvent and the spectral functions of sample covariance matrices of increasing dimension
• Matrix shrinkage of high-dimensional expectation vectors
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical simulation for functions of sample covariance matrices
• Stable estimators of inverse 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

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