292 citations · 2.1k across the 41 of their papers we have counts for
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math.ST2018★ 10 cited
Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
David Morales-Jimenez, Iain M. Johnstone, Matthew R. McKay +1
Sample correlation matrices are employed ubiquitously in statistics. However, quite surprisingly, little is known about their asymptotic spectral properties for high-dimensional da…
math.ST2018★ 7 cited
Large-dimensional behavior of regularized Maronna's M-estimators of covariance matrices
Nicolas Auguin, David Morales-Jimenez, Matthew R. McKay +1
Robust estimators of large covariance matrices are considered, comprising regularized (linear shrinkage) modifications of Maronna's classical M-estimators. These estimators provide…