Numerical simulation for functions of sample covariance matrices

DOI10.1007/s10958-013-1237-5zbMath1271.65068OpenAlexW2009937238MaRDI QIDQ354867

A. I. Glusker, V. I. Serdobol'skij

Publication date: 22 July 2013

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-013-1237-5

zbMATH Keywords

eigenvaluesspectral propertiescovariance matricesnumerical simulation method

Mathematics Subject Classification ID

Cites Work

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• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Multivariate statistical analysis. A high-dimensional approach
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• Spectral theory of random matrices
• The method of a small parameter in flows of a gas containing dust
• Application aspects of G-analysis

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