Rigorous stochastic bounds for the error in large covariance matrices

DOI10.1002/MMA.969MaRDI QIDQ3507679zbMATH OpenOpenAlexFDO

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

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)

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(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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