ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
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Publication:5357570
DOI10.1111/j.1467-842X.2010.00590.xzbMath1373.62245OpenAlexW2765709781MaRDI QIDQ5357570
Zhi-Dong Bai, Jiaqi Chen, Jian-feng Yao
Publication date: 11 September 2017
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2010.00590.x
Marčenko-Pastur distributionhigh-dimensional statisticssample covariance matriceseigenvalues of covariance matrices
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)
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