Efficient computation of limit spectra of sample covariance matrices
Work
Year: 2015
Type: article
Abstract: Consider an $n \times p$ data matrix $X$ whose rows are independently sampled from a population with covariance $\Sigma$. When $n,p$ are both large, the eigenvalues of the sample covariance matrix are... more
Author Edgar Dobriban
Institution Stanford University
Cites: 52
Cited by: 36
Related to: 10
FWCI: 4.752
Citation percentile (by year/subfield): 87.52
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green