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High-dimensional covariance matrix 1 Limiting spectral distribution 1 Local expectation 1 Population spectral distribution 1 Stieltjes transform 1
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Li, Weiming 1
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Local expectations of the population spectral distribution of a high-dimensional covariance matrix
Li, Weiming - In: Statistical Papers 55 (2014) 2, pp. 563-573
This paper discusses the relationship between the population spectral distribution and the limit of the empirical spectral distribution in high-dimensional situations. When the support of the limiting spectral distribution is split into several intervals, the population one gains a meaningful...
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