A CLT for regularized sample covariance matrices
| dc.creator | Anderson, Greg W. | |
| dc.creator | Zeitouni, Ofer | |
| dc.date | 2006-12-27 | |
| dc.date | 2009-01-20 | |
| dc.date.accessioned | 2026-07-07T12:32:41Z | |
| dc.date.available | 2026-07-07T12:32:41Z | |
| dc.description | We consider the spectral properties of a class of regularized estimators of (large) empirical covariance matrices corresponding to stationary (but not necessarily Gaussian) sequences, obtained by banding. We prove a law of large numbers (similar to that proved in the Gaussian case by Bickel and Levina), which implies that the spectrum of a banded empirical covariance matrix is an efficient estimator. Our main result is a central limit theorem in the same regime, which to our knowledge is new, even in the Gaussian setup. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-AOS503 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0612791 | |
| dc.identifier | http://arxiv.org/abs/math/0612791 | |
| dc.identifier | Annals of Statistics 2008, Vol. 36, No. 6, 2553-2576 | |
| dc.identifier | doi:10.1214/07-AOS503 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/216860 | |
| dc.subject | Probability | |
| dc.subject | 62H12 (Primary) 15A52 (Secondary) | |
| dc.title | A CLT for regularized sample covariance matrices | |
| dc.type | text |