Optimal cleaning for singular values of cross-covariance matrices
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Publication:6103997
DOI10.1214/22-aap1842zbMath1516.15022arXiv1901.05543OpenAlexW2909407637MaRDI QIDQ6103997
Jean-Philippe Bouchaud, Florent Benaych-Georges, Marc Potters
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.05543
Nonparametric estimation (62G05) Random matrices (probabilistic aspects) (60B20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Random matrices (algebraic aspects) (15B52)
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