Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates

DOI10.1109/TIT.2008.929938zbMATH Open1318.62191OpenAlexW2105502962MaRDI QIDQ3604964FDOQ3604964

Publication date: 24 February 2009

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2008.929938

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Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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