G. Pan

activity

20072022

most citedOn asymptotics of eigenvectors of large sample covariance matrix

87 citations · 310 across the 25 of their papers we have counts for

collaborators

Showing 2012Show all

3 papers · 1 filter

math.ST2012★ 36 cited

Convergence of the largest eigenvalue of normalized sample covariance matrices when p and n both tend to infinity with their ratio converging to zero

B. B. Chen, G. M. Pan

Let $X_{p} = (s_{1}, ..., s_{n}) = (X_{ij})_{p \times n}$ where $X_{ij}$ 's are independent and identically distributed (i.i.d.) random variables with $EX_{11}=0,EX_{…

stat.ME2012★ 2 cited

A shrinkage estimation for large dimensional precision matrices using random matrix theory

Cheng Wang, Guangming Pan, Longbing Cao

In this paper, a new ridge-type shrinkage estimator for the precision matrix has been proposed. The asymptotic optimal shrinkage coefficients and the theoretical loss were derived.…

math.PR2012★ 19 cited

Convergence of the empirical spectral distribution function of Beta matrices

Zhidong Bai, Jiang Hu, Guangming Pan +1

Let $B_{n} = S_{n} (S_{n} + α_{n} T_{N})^{- 1}$ , where $S_{n}$ and $T_{N}$ are two independent sample covariance matrices with dimension $p$ a…