Sample Covariance Matrices of Heavy-Tailed Distributions
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Publication:4619459
DOI10.1093/imrn/rnx067zbMath1462.62330arXiv1606.03557OpenAlexW2963171892MaRDI QIDQ4619459
Publication date: 6 February 2019
Published in: International Mathematics Research Notices (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.03557
Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)
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