On positive definite thresholding of correlation matrices
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Positive matrices and their generalizations; cones of matrices (15B48) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Positive definite functions on groups, semigroups, etc. (43A35) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Estimation in multivariate analysis (62H12)
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