Estimation of the population spectral distribution from a large dimensional sample covariance matrix

Estimation of the population spectral distribution from a large dimensional sample covariance matrix

10.1016/j.jspi.2013.06.017

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Bibliographic Details
Main Authors: Li, W., Chen, J., Qin, Y., Bai, Z., Yao, J.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Empirical spectral distribution
High-dimensional data analysis
Large sample covariance matrices
Marčenko-Pastur distribution
Stieltjes transform
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105135
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Institution: National University of Singapore
Description
Summary:10.1016/j.jspi.2013.06.017

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