NONPARAMETRIC ESTIMATE OF SPECTRAL DENSITY FUNCTIONS OF SAMPLE COVARIANCE MATRICES: A FIRST STEP

• 成果类型: Article
• 署名作者: Jing, Bing-Yi; Pan, Guangming; Shao, Qi-Man; Zhou, Wang
• 署名单位: Hong Kong University of Science & Technology; Nanyang Technological University; National University of Singapore
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/10-AOS833
• 发表日期: 2010
• 页码: 3724-3750
• 关键词: dimensional random matrices; CONVERGENCE; probability; eigenvalues; LAW

摘要

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.