Recover the spectrum of covariance matrix: a non-asymptotic iterative method

• URL: http://arxiv.org/abs/2201.00230v1
• Date: Sat, 1 Jan 2022 18:44:31 GMT
• Title: Recover the spectrum of covariance matrix: a non-asymptotic iterative method
• Authors: Juntao Duan, Ionel Popescu, Heinrich Matzinger
• Abstract summary: It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this bias and recover the true spectrum for small and moderate dimensions.
• Score: 0.0
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this bias and recover the true spectrum for small and moderate dimensions.

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