吉林大学学报（理学版）2016，Vol.54Issue(3)：499-505,7.DOI:10.13413/j.cnki.jdxblxb.2016.03.17
高维样本协方差矩阵极限谱密度的显式表达式
Explicit Expression of Limiting Spectral Density of High Dimensional Sample Covariance Matrices
摘要
Abstract
Using the method of Stieltjes transform,we gave the explicit expressions of the limiting spectral density functions of the general high dimensional sample covariance matrices,which included:the sample covariance matrix whose elements were independent with zero mean and constant variance;the sum of a sample covariance matrix and a unit matrix;the sample covariance matrix which satisfied that the variance of the elements were different but only had two values;the sum of two different sample covariance matrices.关键词
随机矩阵/极限谱密度函数/样本协方差矩阵Key words
random matrix/limiting spectral density (LSD)function/sample covariance matrix分类
数理科学引用本文复制引用
高瑞梅,吕堂红,胡江..高维样本协方差矩阵极限谱密度的显式表达式[J].吉林大学学报（理学版）,2016,54(3):499-505,7.基金项目
国家自然科学基金(批准号:11301063)、吉林省教育厅“十二五”科学技术研究项目(批准号:吉教科合字[2015]第52号)和长春理工大学科技创新基金(批准号:XJJLG-2014-01) （批准号:11301063）
