On a model selection problem from high-dimensional sample covariance matrices

DOI10.1016/J.JMVA.2011.05.005zbMATH Open1219.62090OpenAlexW2071911508MaRDI QIDQ634554FDOQ634554

Authors: Jiaqi Chen, Bernard Delyon, Jian-Feng Yao 

Publication date: 16 August 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/135512

Recommendations

• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Testing the order of a population spectral distribution for high-dimensional data
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• Eigenvalues of large sample covariance matrices of spiked population models

zbMATH Keywords

high-dimensional datacross-validationorder selectionlarge sample covariance matricesMarčenko-Pastur distribution

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

Cites Work

• On the distribution of the largest eigenvalue in principal components analysis
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Analysis of the limiting spectral distribution of large dimensional random matrices
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• Title not available (Why is that?)
• Statistical eigen-inference from large Wishart matrices
• Concentration inequalities for the spectral measure of random matrices

Cited In (5)

• Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
• Random matrix theory in statistics: a review
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Numerical implementation of the QuEST function

This page was built for publication: On a model selection problem from high-dimensional sample covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634554)