A local moment estimator of the spectrum of a large dimensional covariance matrix

DOI10.5705/ss.2012.130zbMath1285.62060arXiv1302.0356OpenAlexW2018580944MaRDI QIDQ5413288

Jian-feng Yao, Wei-Ming Li

Publication date: 29 April 2014

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0356

zbMATH Keywords

empirical spectral distributionStieltjes transformslarge covariance matrixpopulation spectral distribution

Mathematics Subject Classification ID

Related Items (5)

CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions ⋮ Testing the order of a population spectral distribution for high-dimensional data ⋮ Subordination methods for free deconvolution ⋮ Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum ⋮ On generalized expectation-based estimation of a population spectral distribution from high-dimensional data

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