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

DOI10.1007/s00362-013-0501-6zbMath1297.62126OpenAlexW2029508666MaRDI QIDQ744778

Wei-Ming 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)

Related Items

CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data ⋮ Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices

Cites Work

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• A Complex Rolle's Theorem
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX

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