246 citations · 257 across the 2 of their papers we have counts for
5 papers
Operator norm consistent estimation of large-dimensional sparse covariance matrices
Noureddine El Karoui
Estimating covariance matrices is a problem of fundamental importance in multivariate statistics. In practice it is increasingly frequent to work with data matrices of dimensio…
Spectrum estimation for large dimensional covariance matrices using random matrix theory
Noureddine El Karoui
Estimating the eigenvalues of a population covariance matrix from a sample covariance matrix is a problem of fundamental importance in multivariate statistics; the eigenvalues of c…
Tracy--Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
Noureddine El Karoui
We consider the asymptotic fluctuation behavior of the largest eigenvalue of certain sample covariance matrices in the asymptotic regime where both dimensions of the corresponding…
A rate of convergence result for the largest eigenvalue of complex white Wishart matrices
Noureddine El Karoui
It has been recently shown that if is an matrix whose entries are i.i.d. standard complex Gaussian and is the largest eigenvalue of , there exist sequen…
On the largest eigenvalue of Wishart matrices with identity covariance when n, p and p/n tend to infinity
Noureddine El Karoui
Let X be a n*p matrix and l_1 the largest eigenvalue of the covariance matrix X^{*}*X. The "null case" where X_{i,j} are independent Normal(0,1) is of particular interest for princ…