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Start Over Author "Yao, Jianfeng" Journal ieee transactions on information theory Publisher ieee
1 results on '"Yao, Jianfeng"'

1. Fluctuations of an Improved Population Eigenvalue Estimator in Sample Covariance Matrix Models.

Author

Yao, Jianfeng, Couillet, Romain, Najim, Jamal, and Debbah, Mérouane

Subjects
*EIGENVALUES, *EIGENFUNCTIONS, *COVARIANCE matrices, *PARAMETER estimation, *CENTRAL limit theorem, *STIELTJES transform, *RANDOM matrices, *COMPUTER simulation, *MATHEMATICAL models
Abstract

This paper provides a central limit theorem for a consistent estimator of population eigenvalues with large multiplicities based on sample covariance matrices. The focus is on limited sample size situations, whereby the number of available observations is comparable in magnitude to the observation dimension. An exact expression as well as an empirical, asymptotically accurate, approximation of the limiting variance is derived. Simulations are performed that corroborate the theoretical claims. [ABSTRACT FROM AUTHOR]

Published
2013
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