Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
Jing, Bing-Yi · Pan, Guangming · Shao, Qi-Man · Zhou, Wang
Original · EN
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.
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