Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
Author:
Funder
National University of Singapore
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability
Reference40 articles.
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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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