Estimation of two high-dimensional covariance matrices and the spectrum of their ratio

DOI10.1016/j.jmva.2018.06.008zbMath1401.62087OpenAlexW2810747915MaRDI QIDQ1795566

Publication date: 16 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.06.008

zbMATH Keywords

random matrix theory spectrum estimation covariance matrix estimation two-sample problem Marčenko-Pastur equation high-dimensional asymptotics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Random matrices (probabilistic aspects) (60B20)

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