Analytical formula for large eigenvalues of sample covariance matrix in infinite dimensional case

zbMath1539.62158MaRDI QIDQ6540489

S. Dai, Heinrich III Matzinger

Publication date: 15 May 2024

Published in: Markov Processes and Related Fields (Search for Journal in Brave)

zbMATH Keywords

sample covariance matrixspectrum reconstructionhigh dimensional case

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20)

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