Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data
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Publication:6300784
arXiv1804.09472MaRDI QIDQ6300784FDOQ6300784
Authors: Saba Amsalu, Juntao Duan, Heinrich Matzinger, Ionel Popescu 
Publication date: 25 April 2018
Abstract: In this paper we propose two schemes for the recovery of the spectrum of a covariance matrix from the empirical covariance matrix, in the case where the dimension of the matrix is a subunitary multiple of the number of observations. We test, compare and analyze these on simulated data and also on some data coming from the stock market.
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