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|Title:||Nonparametric estimate of spectral density functions of sample covariance matrices: A first step|
Sample covariance matrices
|Citation:||Jing, B.-Y., Pan, G., Shao, Q.-M., Zhou, W. (2010-12). Nonparametric estimate of spectral density functions of sample covariance matrices: A first step. Annals of Statistics 38 (6) : 3724-3750. ScholarBank@NUS Repository. https://doi.org/10.1214/10-AOS833|
|Abstract:||The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown.We propose to use kernel estimators which are proved to be consistent. A simulation study is also conducted to show the performance of the estimators. © Institute of Mathematical Statistics, 2010.|
|Source Title:||Annals of Statistics|
|Appears in Collections:||Staff Publications|
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