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Article: A local moments estimation of the spectrum of a large dimensional covariance matrix

TitleA local moments estimation of the spectrum of a large dimensional covariance matrix
Authors
KeywordsEmpirical spectral distribution
Large covariance matrix
Moment estimation
Population spectral distribution
Stieltjes transform
Issue Date2014
Citation
Statistica Sinica, 2014, v. 24, p. 919-936 How to Cite?
AbstractThis paper considers the problem of estimating the population spectral distribution from a sample covariance matrix when its dimension is large. We generalize the contour-integral based method in Mestre (2008) and present a local moment estimation procedure. Compared with the original, the new procedure can be applied successfully to models where the asymptotic clusters of sample eigenvalues generated by different population eigenvalues are not all separate. The proposed estimates are proved to be consistent. Numerical results illustrate the implementation of the estimation procedure and demonstrate its efficiency in various cases.
Persistent Identifierhttp://hdl.handle.net/10722/189446
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorYao, JJen_US
dc.contributor.authorLI, WMen_US
dc.date.accessioned2013-09-17T14:41:46Z-
dc.date.available2013-09-17T14:41:46Z-
dc.date.issued2014-
dc.identifier.citationStatistica Sinica, 2014, v. 24, p. 919-936en_US
dc.identifier.urihttp://hdl.handle.net/10722/189446-
dc.description.abstractThis paper considers the problem of estimating the population spectral distribution from a sample covariance matrix when its dimension is large. We generalize the contour-integral based method in Mestre (2008) and present a local moment estimation procedure. Compared with the original, the new procedure can be applied successfully to models where the asymptotic clusters of sample eigenvalues generated by different population eigenvalues are not all separate. The proposed estimates are proved to be consistent. Numerical results illustrate the implementation of the estimation procedure and demonstrate its efficiency in various cases.-
dc.languageengen_US
dc.relation.ispartofStatistica Sinicaen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectEmpirical spectral distribution-
dc.subjectLarge covariance matrix-
dc.subjectMoment estimation-
dc.subjectPopulation spectral distribution-
dc.subjectStieltjes transform-
dc.titleA local moments estimation of the spectrum of a large dimensional covariance matrixen_US
dc.typeArticleen_US
dc.identifier.emailYao, JJ: jeffyao@hku.hken_US
dc.identifier.authorityYao, JJ=rp01473en_US
dc.description.naturepostprint-
dc.identifier.doi10.5705/ss.2012.130-
dc.identifier.hkuros221513en_US
dc.identifier.isiWOS:000337114800019-

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