Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jspi.2013.06.017
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dc.titleEstimation of the population spectral distribution from a large dimensional sample covariance matrix
dc.contributor.authorLi, W.
dc.contributor.authorChen, J.
dc.contributor.authorQin, Y.
dc.contributor.authorBai, Z.
dc.contributor.authorYao, J.
dc.date.accessioned2014-10-28T05:12:03Z
dc.date.available2014-10-28T05:12:03Z
dc.date.issued2013-11
dc.identifier.citationLi, W., Chen, J., Qin, Y., Bai, Z., Yao, J. (2013-11). Estimation of the population spectral distribution from a large dimensional sample covariance matrix. Journal of Statistical Planning and Inference 143 (11) : 1887-1897. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jspi.2013.06.017
dc.identifier.issn03783758
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/105135
dc.description.abstractThis paper introduces a new method to estimate the spectral distribution of a population covariance matrix from high-dimensional data. The method is founded on a meaningful generalization of the seminal Marčenko-Pastur equation, originally defined in the complex plane, to the real line. Beyond its easy implementation and the established asymptotic consistency, the new estimator outperforms two existing estimators from the literature in almost all the situations tested in a simulation experiment. An application to the analysis of the correlation matrix of S&P 500 daily stock returns is also given. © 2013 Elsevier B.V.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.jspi.2013.06.017
dc.sourceScopus
dc.subjectEmpirical spectral distribution
dc.subjectHigh-dimensional data analysis
dc.subjectLarge sample covariance matrices
dc.subjectMarčenko-Pastur distribution
dc.subjectStieltjes transform
dc.typeArticle
dc.contributor.departmentSTATISTICS & APPLIED PROBABILITY
dc.description.doi10.1016/j.jspi.2013.06.017
dc.description.sourcetitleJournal of Statistical Planning and Inference
dc.description.volume143
dc.description.issue11
dc.description.page1887-1897
dc.description.codenJSPID
dc.identifier.isiut000324790500008
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