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

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.

arXiv commentPublished in at http://dx.doi.org/10.1214/10-AOS833 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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