# Estimation of the population spectral distribution from a large dimensional sample covariance matrix

arXiv: https://arxiv.org/abs/1302.0355 · HTML: https://mlsanity.com/paper/1302.0355/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 2 Feb 2013.

## Built on by (most cited first, 1 of 1)

- [Recover the spectrum of covariance matrix: a non-asymptotic iterative method](https://mlsanity.com/paper/2201.00230/) (2022)

## Abstract (arXiv)

This paper introduces a new method to estimate the spectral distribution of a population covariance matrix from high-dimensional data. The method is founded on a meaningful generalization of the seminal Marcenko-Pastur equation, originally defined in the complex plan, to the real line. Beyond its easy implementation and the established asymptotic consistency, the new estimator outperforms two existing estimators from the literature in almost all the situations tested in a simulation experiment. An application to the analysis of the correlation matrix of S&P stocks data is also given.