High‐dimensional covariance matrix estimation
نویسندگان
چکیده
منابع مشابه
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Estimation of population covariance matrices from samples of multivariate data is important. (1) Estimation of principle components and eigenvalues. (2) Construction of linear discriminant functions. (3) Establishing independence and conditional independence. (4) Setting confidence intervals on linear functions. Suppose we observed p dimensional multivariate samples X1, X2, · · · , Xn i.i.d. wi...
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ژورنال
عنوان ژورنال: WIREs Computational Statistics
سال: 2019
ISSN: 1939-5108,1939-0068
DOI: 10.1002/wics.1485