How close is the sample covariance matrix to the actual covariance matrix?
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Publication:715740
DOI10.1007/s10959-010-0338-zzbMath1365.62208arXiv1004.3484MaRDI QIDQ715740
Publication date: 1 November 2012
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.3484
sample covariance matrices; estimation of covariance matrices; random matrices with independent columns
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