Nonparametric estimate of spectral density functions of sample covariance matrices: a first step

DOI10.1214/10-AOS833zbMath1204.62056arXiv1211.3230OpenAlexW1988597341MaRDI QIDQ620566

Bing-Yi Jing, Wang Zhou, Guangming Pan, Qui-Man Shao

Publication date: 19 January 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3230

zbMATH Keywords

Stieltjes transformsample covariance matricesnonparametric estimate

Mathematics Subject Classification ID

Related Items (10)

Quadratic shrinkage for large covariance matrices ⋮ Efficient computation of limit spectra of sample covariance matrices ⋮ Power computation for hypothesis testing with high-dimensional covariance matrices ⋮ Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models ⋮ Error bounds for kernel density estimator of spectral distribution for Gaussian unitary ensembles ⋮ Kernel estimators for Marčenko-Pastur law of quaternion sample covariance matrices ⋮ Analytical nonlinear shrinkage of large-dimensional covariance matrices ⋮ Convergence rates to the Marchenko-Pastur type distribution ⋮ Functional CLT of eigenvectors for large sample covariance matrices ⋮ MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures

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