Recover the spectrum of covariance matrix: a non-asymptotic iterative method

It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this bias and recover the true spectrum for small and mo...

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Veröffentlicht in:arXiv.org 2022-01
Hauptverfasser: Duan, Juntao, Popescu, Ionel, Matzinger, Heinrich
Format: Artikel
Sprache:eng
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Zusammenfassung:It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this bias and recover the true spectrum for small and moderate dimensions.
ISSN:2331-8422