Optimal eigenvalue shrinkage in the semicircle limit
半圆极限下的最优特征值收缩
In response to the increasing dimensionality of modern datasets, recent theoretical studies of covariance estimation frequently adopt the proportional-growth asymptotic framework in which the sample size n and dimension p are comparable, with n,p→∞ and γn:=p/n→γ>0. However, in many datasets—perhaps most—the sample size and dimension are highly imbalanced. To address this, we consider the disproportional-growth asymptotic framework, where n,p→∞ and γn→0 or γn→∞. These regimes…