Spectral Density of Sample Covariance Matrices of Colored Noise

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dc.creatorDolezal, Emil
dc.creatorSeba, Petr
dc.date2008-07-15
dc.date2008-07-17
dc.date.accessioned2026-07-07T09:50:38Z
dc.date.available2026-07-07T09:50:38Z
dc.descriptionWe study the dependence of the spectral density of the covariance matrix ensemble on the power spectrum of the underlying multivariate signal. The white noise signal leads to the celebrated Marchenko-Pastur formula. We demonstrate results for some colored noise signals.
dc.identifierhttps://arxiv.org/abs/0807.2378
dc.identifierhttp://arxiv.org/abs/0807.2378
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/165011
dc.subjectData Analysis, Statistics and Probability
dc.subjectMedical Physics
dc.titleSpectral Density of Sample Covariance Matrices of Colored Noise
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