Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

DOI10.1016/j.jmva.2015.04.006zbMath1328.62340arXiv1406.6085OpenAlexW2146442376MaRDI QIDQ2350071

Olivier Ledoit, Michael Wolf

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.6085

zbMATH Keywords

principal component analysislarge-dimensional asymptoticsnonlinear shrinkagecovariance matrix eigenvalues

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

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Uses Software

• SNOPT
• HiDimDA

Cites Work

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