Regularized LRT for large scale covariance matrices: one sample problem (Q338414)
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scientific article; zbMATH DE number 6647922
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| English | Regularized LRT for large scale covariance matrices: one sample problem |
scientific article; zbMATH DE number 6647922 |
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Regularized LRT for large scale covariance matrices: one sample problem (English)
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4 November 2016
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asymptotic normality
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covariance matrix estimator
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identity covariance matrix
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high-dimensional data
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linear shrinkage estimator
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linear spectral statistics
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random matrix theory
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regularized likelihood ratio test
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spiked covariance matrix
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0.8631695508956909
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0.8300923705101013
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0.8149871826171875
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0.8001307845115662
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0.8001307845115662
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