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arXiv · 1211.3230

Nonparametric estimate of spectral density functions of sample covariance matrices: A first step

Bing-Yi Jing·Guangming Pan·Qi-Man Shao·Wang Zhou
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Abstract

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.

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Bing-Yi Jing, Guangming Pan, Qi-Man Shao, Wang Zhou. 2012-11-14. Nonparametric estimate of spectral density functions of sample covariance matrices: A first step. https://doi.org/10.1214/10-aos833

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