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math.ST2025
A Lanczos-Based Algorithmic Approach for Spike Detection in Large Sample Covariance Matrices
Charbel Abi Younes, Xiucai Ding, Thomas Trogdon
We introduce a new approach for estimating the number of spikes in a general class of spiked covariance models without directly computing the eigenvalues of the sample covariance m…
math.ST2024
Eigenvector distributions and optimal shrinkage estimators for large covariance and precision matrices
Xiucai Ding, Yun Li, Fan Yang
This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings. We consider mod…