Estimation of low-rank covariance function

DOI10.1016/j.spa.2016.04.006zbMath1387.60066arXiv1504.03009OpenAlexW2963297114MaRDI QIDQ335675

Alexandre B. Tsybakov, Karim Lounici, Vladimir I. Koltchinskii

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03009

zbMATH Keywords

Gaussian processadaptationnuclear normempirical risk minimizationlow rank covariance functionminimax lower bounds

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

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Optimal cleaning for singular values of cross-covariance matrices

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