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This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings.
Distribution of eigenvalues for some sets of random matrices
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Nonlinear shrinkage estimation of large-dimensional covariance matrices
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Averaging fluctuations in resolvents of random band matrices
L. Erdős, A. Knowles, and H.-T. Yau · 2013
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Eigenvector distribution of Wigner matrices
A. Knowles and J. Yin · 2013
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High-dimensional covariance estimation: with high-dimensional data
M. Pourahmadi · 2013
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Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
N. Xia, Y. Qin, and Z. Bai · 2013
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A. Bloemendal, L. Erdős, A. Knowles, H.-T. Yau, and J. Yin · 2014
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P. Bourgade, L. Erdös, and H.-T. Yau · 2014
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Estimation of the number of spikes, possibly equal, in the high-dimensional case
D. Passemier and J. Yao · 2014
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Universality of covariance matrices
N. S. Pillai and J. Yin · 2014
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Universality for the largest eigenvalue of sample covariance matrices with general population
Z. Bao, G. Pan, and W. Zhou · 2015
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Spectrum estimation: A unified framework for covariance matrix estimation and pca in large dimensions
O. Ledoit and M. Wolf · 2015
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Large Sample Covariance Matrices and High-Dimensional Data Analysis
J. Yao, S. Zheng, and Z. Bai · 2015
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On the principal components of sample covariance matrices
A. Bloemendal, A. Knowles, H.-T. Yau, and J. Yin · 2016
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Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation
T. T. Cai, Z. Ren, and H. H. Zhou · 2016
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An overview of the estimation of large covariance and precision matrices
J. Fan, Y. Liao, and H. Liu · 2016
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Large complex correlated Wishart matrices: Fluctuations and asymptotic independence at the edges
W. Hachem, A. Hardy, and J. Najim · 2016
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Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
Convergence of eigenvector empirical spectral distribution of sample covariance matrices
H. Xi, F. Yang, and J. Yin · 2020
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Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
F. Yang · 2020
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Precise high-dimensional asymptotics for quantifying heterogeneous transfers
F. Yang, H. R. Zhang, S. Wu, W. J. Su, and C. Ré · 2020
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Eigenstate thermalization hypothesis for Wigner matrices
G. Cipolloni, L. Erdős, and D. Schröder · 2021
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Spiked sample covariance matrices with possibly multiple bulk components
X. Ding · 2021
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Spiked separable covariance matrices and principal components
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J. O. Lee and K. Schnelli · 2016
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A theoretical study of Stein’s covariance estimator
B. Rajaratnam and D. Vincenzi · 2016
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Advanced Topics in Random Matrices
F. Benaych-Georges, C. Bordenave, M. Capitaine, C. Donati-Martin, A. Knowles, D. Chafaï, S. Péché, and B. de Tilière · 2017
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The eigenvector moment flow and local quantum unique ergodicity
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A dynamical approach to random matrix theory
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X. Ding and F. Yang · 2021
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Principal components in linear mixed models with general bulk
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Shrinkage estimation of large covariance matrices: Keep it simple, statistician?
O. Ledoit and M. Wolf · 2021
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Statistical inference for principal components of spiked covariance matrices
Z. Bao, X. Ding, J. Wang, and K. Wang · 2022
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Eigenvector distribution in the critical regime of BBP transition
Z. Bao and D. Wang · 2022
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Optimal delocalization for generalized Wigner matrices
L. Benigni and P. Lopatto · 2022
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Normal fluctuation in quantum ergodicity for Wigner matrices
G. Cipolloni, L. Erdős, and D. Schröder · 2022
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Thermalisation for Wigner matrices
G. Cipolloni, L. Erdős, and D. Schröder · 2022
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Edge statistics of large dimensional deformed rectangular matrices
X. Ding and F. Yang · 2022
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Tracy-Widom distribution for heterogeneous Gram matrices with applications in signal detection
X. Ding and F. Yang · 2022
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Quadratic shrinkage for large covariance matrices
O. Ledoit and M. Wolf · 2022
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Optimal singular value shrinkage for operator norm loss: Extending to non-square matrices
W. Leeb · 2022
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High dimensional normality of noisy eigenvectors
J. Marcinek and H.-T. Yau · 2022
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Eigenstate thermalization hypothesis for generalized Wigner matrices
A. Adhikari, S. Dubova, C. Xu, and J. Yin · 2023
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Optimal cleaning for singular values of cross-covariance matrices
F. Benaych-Georges, J.-P. Bouchaud, and M. Potters · 2023
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Eigenstate thermalisation at the edge for Wigner matrices
G. Cipolloni, L. Erdős, and J. Henheik · 2023
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Gaussian fluctuations in the equipartition principle for Wigner matrices
G. Cipolloni, L. Erdős, J. Henheik, and O. Kolupaiev · 2023
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Estimation of the number of spiked eigenvalues in a covariance matrix by bulk eigenvalue matching analysis
Z. T. Ke, Y. Ma, and X. Lin · 2023
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