Statistical eigen-inference from large Wishart matrices

Rao, N. Raj, Mingo, James A., Speicher, Roland, Edelman, Alan . The Annals of Statistics 2008. 36 (6) :2850-2885

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Bibtex

@article{CIS-261134,
  Author = {Rao, N. Raj and Mingo, James A. and Speicher, Roland and Edelman, Alan},
  Title = {Statistical eigen-inference from large Wishart matrices},
  Journal = {The Annals of Statistics},
  Volume = {36},
  Number = {6},
  Year = {2008},
  Pages = {2850--2885},
  Keywords = {Ergodicity, Importance sampling, Control variates, Markov chain Monte Carlo, Bayes factors, hyperparameter selection, free probability, linear statistics, random matrix theory, sample covariance matrices, second order freeness}
}

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