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

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Publication:6540489
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zbMATH Open1539.62158MaRDI QIDQ6540489FDOQ6540489


Authors: Heinrich Matzinger, S. Dai Edit this on Wikidata


Publication date: 15 May 2024

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





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zbMATH Keywords

sample covariance matrixspectrum reconstructionhigh dimensional case


Mathematics Subject Classification ID

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







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