Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
Bing-Yi Jing, Guangming Pan, Qi-Man Shao, Wang Zhou
The Annals of Statistics · 2010 · Volume 38 · Issue 6
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.
Keywords
15A52, 60F15, 60F17, 62E20, nonparametric estimate, Sample covariance matrices, Stieltjes transform
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