Local expectations of the population spectral distribution of a high-dimensional covariance matrix

DOI10.1007/S00362-013-0501-6zbMATH Open1297.62126OpenAlexW2029508666MaRDI QIDQ744778FDOQ744778

Authors Weiming Li

Publication date 26 September 2014

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-013-0501-6

zbMATH Keywords

Stieltjes transformlimiting spectral distributionhigh-dimensional covariance matrixlocal expectationpopulation spectral distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)

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Cites work

• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• A Complex Rolle's Theorem
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix
• Fluctuations of an Improved Population Eigenvalue Estimator in Sample Covariance Matrix Models
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• On the distribution of the largest eigenvalue in principal components analysis
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• Spectral analysis of large dimensional random matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices

Cited in

(5)

• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• 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
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices

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