Confidence Sets for Spectral Projectors of Covariance Matrices
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DOI: 10.1134/s1064562418060285
Abstract: A sample X1,...,Xn consisting of independent identically distributed vectors in ℝp with zero mean and a covariance matrix Σ is considered. The recovery of spectral projectors of high-dimensional covariance matrices from a sample of observations… read more here.
Keywords: covariance matrices; confidence sets; spectral projectors; sets spectral ... See more keywords