Compressed covariance estimation with automated dimension learning
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Publication:2300095
DOI10.1007/s13171-018-0134-xzbMath1437.62288arXiv1704.00247OpenAlexW2615976213MaRDI QIDQ2300095
Anirban Bhattacharya, Gautam Sabnis, Debdeep Pati
Publication date: 24 February 2020
Published in: Sankhyā. Series A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.00247
dimension reductionfactor modelcompressed sensinglow-rankspiked covariance modelsSUREStein's unbiased risk estimation theory
Uses Software
Cites Work
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