Rigorous stochastic bounds for the error in large covariance matrices

DOI10.1002/MMA.969zbMATH Open1153.15314OpenAlexW2023747621MaRDI QIDQ3507679FDOQ3507679

Authors: David Wenzel, A. Böttcher 

Publication date: 20 June 2008

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.969

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zbMATH Keywords

PCArandom matrixcovariance matrixnetwork anomaly detectionstochastic bound

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Fault detection; testing in circuits and networks (94C12)

Cited In (3)

• Bounds for the trace of the difference of the covariance matrices of the OLSE and BLUE
• Stochastic analysis of covariance when the error distribution is long-tailed symmetric
• Error estimates resulting from the norms of certain noise covariance matrices

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