A subspace estimator for fixed rank perturbations of large random matrices
نویسندگان
چکیده
منابع مشابه
A subspace estimator for fixed rank perturbations of large random matrices
This paper deals with the problem of parameter estimation based on certain eigenspaces of the empirical covariance matrix of an observed multidimensional time series, in the case where the time series dimension and the observation window grow to infinity at the same pace. In the area of large random matrix theory, recent contributions studied the behavior of the extreme eigenvalues of a random ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.08.006