Nonparametric eigenvalue-regularized precision or covariance matrix estimator (Q292867)

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Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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    Nonparametric eigenvalue-regularized precision or covariance matrix estimator (English)
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    9 June 2016
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    high dimensional data analysis
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    covariance matrix
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    Stieltjes transform
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    data splitting
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    nonlinear shrinkage
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    factor model
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