Estimation of two high-dimensional covariance matrices and the spectrum of their ratio

Author:

Wen Jun

Funder

National University of Singapore

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference40 articles.

1. Methodologies in spectral analysis of large dimensional random matrices: A review;Bai;Statist. Sinica,1999

2. On estimation of the population spectral distribution from a high-dimensional sample covariance matrix;Bai;Aust. New Zealand J. Statist.,2010

3. On the empirical distribution of eigenvalues of a class of large dimensional random matrices;Bai;J. Multivariate Anal.,1995

4. No eigenvalues outside the support of the limiting spectral distribution of large dimensional sample covariance matrices;Bai;Ann. Probab.,1998

5. Spectral Analysis of Large Dimensional Random Matrices;Bai,2010

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