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.
Citation
Bing-Yi Jing. Guangming Pan. Qi-Man Shao. Wang Zhou. "Nonparametric estimate of spectral density functions of sample covariance matrices: A first step." Ann. Statist. 38 (6) 3724 - 3750, December 2010. https://doi.org/10.1214/10-AOS833
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