Random matrix improved covariance estimation for a large class of metrics*

DOI10.1088/1742-5468/abcaf2OpenAlexW2964304988MaRDI QIDQ5857459

Romain Couillet, Malik Tiomoko, Florent Bouchard, Guillaume Ginolhac

Publication date: 1 April 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.02554

zbMATH Keywords

machine learning

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• glasso
• Manopt
• QuEST

Cites Work

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• Covariance, subspace, and intrinsic Crame/spl acute/r-Rao bounds
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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