Paper ID: 2201.00230

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

Juntao Duan, Ionel Popescu, Heinrich Matzinger

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.

Submitted: Jan 1, 2022