Bias-Corrected-Multiplier-Bootstrap-Inference-for-Spectral-Edges-of-Large-Covariance-Matrices

This repo is to implement and reproduce the results in Bias-Corrected Multiplier Bootstrap Inference for Spectral Edges of Large Covariance Matrices.

1. To reproduce the results of accuracy and power analysis in Section 4.2, please execute accuracy.py and power.py.

2. To reproduce the results of the spike-number estimation in Section 4.3, please execute spike_detection.py.

3. To reproduce the results of real data analysis in Section 5, please execute real_data.ipynb.

4. To reproduce the calibration as described in Section 2.3, please execute calibration.py.