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Spectrum of Exponentially Weighted Covariance Matrices
Korada, Satish Babu
•
Leveque, Olivier
2008
The spectrum of exponentially weighted covariance matrices is studied here. We first give a formal way of obtaining the spectrum using annealed approximation frequently used in Statistical Mechanics. Using the method developed by Bai and Silverstein we obtain the result rigorously. This spectrum matches with the spectrum obtained by annealed approximation. We also show some simulation results to see how well they match with the obtained expression.
Type
report
Authors
Korada, Satish Babu
•
Leveque, Olivier
Publication date
2008
EPFL units
Available on Infoscience
May 15, 2008
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