Asymptotic spectrum of weighted sample covariance: a Marcenko-Pastur generalization - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2024

Asymptotic spectrum of weighted sample covariance: a Marcenko-Pastur generalization

Abstract

We propose an extension of the high dimensional spectrum analysis of sample covariance in the setting of the weighted sample covariance. We derive an asymptotic equation characterizing the limit density of the weighted sample eigenvalues generalizing for weighted sample covariance matrices the Marcenko-Pastur theorem.
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hal-04746732 , version 1 (21-10-2024)

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Benoit Oriol. Asymptotic spectrum of weighted sample covariance: a Marcenko-Pastur generalization. 2024. ⟨hal-04746732⟩
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