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https://doi.org/10.1214/10-AOS833
| Title: | Nonparametric estimate of spectral density functions of sample covariance matrices: A first step | Authors: | Jing, B.-Y. Pan, G. Shao, Q.-M. Zhou, W. |
Keywords: | Nonparametric estimate Sample covariance matrices Stieltjes transform |
Issue Date: | Dec-2010 | 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 | URI: | http://scholarbank.nus.edu.sg/handle/10635/105240 | ISSN: | 00905364 | DOI: | 10.1214/10-AOS833 |
| Appears in Collections: | Staff Publications |
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