Convergence of the spectrum of empirical covariance matrices for independent MRW processes

ESAIM Probability and Statistics ◽

10.1051/ps/2014028 ◽

2015 ◽

Vol 19 ◽

pp. 327-360

Author(s):

Romain Allez ◽

Rémi Rhodes ◽

Vincent Vargas

Keyword(s):

Covariance Matrices ◽

Empirical Covariance

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On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence

Probability Theory and Related Fields ◽

10.1007/s00440-017-0778-9 ◽

2017 ◽

Vol 170 (3-4) ◽

pp. 847-889 ◽

Cited By ~ 1

Author(s):

Djalil Chafaï ◽

Konstantin Tikhomirov

Keyword(s):

Covariance Matrices ◽

Empirical Covariance

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Canonical equation for the resolvent of empirical covariance matrices pencil

Multidimensional Statistical Analysis and Theory of Random Matrices ◽

10.1515/9783110916690-007 ◽

1996 ◽

pp. 41-60

Author(s):

V. L. Girko ◽

A. K. Gupta

Keyword(s):

Covariance Matrices ◽

Canonical Equation ◽

Empirical Covariance

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Limit Theorems for the Eigenvalues of Empirical Covariance Matrices

Statistical Analysis of Observations of Increasing Dimension ◽

10.1007/978-94-015-8567-5_4 ◽

1995 ◽

pp. 122-170

Author(s):

Vyacheslav L. Girko

Keyword(s):

Limit Theorems ◽

Covariance Matrices ◽

Empirical Covariance

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Stochastic Canonical Equation K 41 for Normalized Spectral Functions of Empirical Covariance Matrices

Theory of Stochastic Canonical Equations ◽

10.1007/978-94-010-0989-8_41 ◽

2001 ◽

pp. 622-625

Author(s):

Vyacheslav L. Girko

Keyword(s):

Covariance Matrices ◽

Canonical Equation ◽

Spectral Functions ◽

Empirical Covariance ◽

K 41

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On the sharpness of asymptotic expressions for the spectral functions of empirical covariance matrices

Russian Mathematical Surveys ◽

10.1070/rm1994v049n05abeh002443 ◽

1994 ◽

Vol 49 (5) ◽

pp. 187-188

Author(s):

V I Serdobol'skii

Keyword(s):

Covariance Matrices ◽

Spectral Functions ◽

Asymptotic Expressions ◽

Empirical Covariance

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Strong Law for the eigenvalues of empirical covariance matrices

Multidimensional Statistical Analysis and Theory of Random Matrices ◽

10.1515/9783110916690-008 ◽

1996 ◽

pp. 61-92

Author(s):

V. L. Girko

Keyword(s):

Covariance Matrices ◽

Strong Law ◽

Empirical Covariance

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Canonical spectral equation for empirical covariance matrices

Ukrainian Mathematical Journal ◽

10.1007/bf01057509 ◽

1995 ◽

Vol 47 (9) ◽

pp. 1341-1355

Author(s):

V. L. Girko

Keyword(s):

Covariance Matrices ◽

Spectral Equation ◽

Empirical Covariance

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Canonical equation for the resolvent of empirical covariance matrices

Random Operators and Stochastic Equations ◽

10.1515/rose.1996.4.1.61 ◽

1996 ◽

Vol 4 (1) ◽

Author(s):

V. L. GIRKO

Keyword(s):

Covariance Matrices ◽

Canonical Equation ◽

Empirical Covariance

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General equation for the eigenvalues of empirical covariance matrices II

Random Operators and Stochastic Equations ◽

10.1515/rose.1994.2.2.175 ◽

1994 ◽

Vol 2 (2) ◽

Cited By ~ 1

Author(s):

V. L. GIRKO

Keyword(s):

General Equation ◽

Covariance Matrices ◽

Empirical Covariance

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Reduced order modeling for load aggregation based on empirical covariance matrices

2015 5th International Conference on Electric Utility Deregulation and Restructuring and Power Technologies (DRPT) ◽

10.1109/drpt.2015.7432332 ◽

2015 ◽

Author(s):

Gang Zhang ◽

Zhengchun Du ◽

Chongtao Li ◽

Yu Ni

Keyword(s):

Reduced Order Modeling ◽

Covariance Matrices ◽

Reduced Order ◽

Empirical Covariance

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