Spectrum estimation for large dimensional covariance matrices using random matrix theory (Q1000306)

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Spectrum estimation for large dimensional covariance matrices using random matrix theory
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    Spectrum estimation for large dimensional covariance matrices using random matrix theory (English)
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    6 February 2009
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    principal components analysis
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    eigenvalues of covariance matrices
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    high-dimensional inference
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    Stieltjes transform
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    MarĨenko-Pastur equation
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    convex optimization
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