Analytical formula for large eigenvalues of sample covariance matrix in infinite dimensional case

MaRDI QIDQ6540489zbMATH OpenFDO

Authors Heinrich Matzinger, S. Dai

Publication date 15 May 2024

Published in Markov Processes and Related Fields (Search for Journal in Brave)

zbMATH Keywords

high dimensional casesample covariance matrixspectrum reconstruction

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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