A large covariance matrix estimator under intermediate spikiness regimes (Q2293542)
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English | A large covariance matrix estimator under intermediate spikiness regimes |
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A large covariance matrix estimator under intermediate spikiness regimes (English)
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5 February 2020
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covariance matrix
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nuclear norm
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penalized least squares
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sparsity
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spiked eigenvalues
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un-shrinkage
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