Spectrum estimation for large dimensional covariance matrices using random matrix theory
type: Item
instance of: scholarly article
title: Spectrum estimation for large dimensional covariance matrices using random matrix theory
zbMATH Open document ID: 1168.62052
DOI: 10.1214/07-AOS581
author: Noureddine El Karoui
published in: The Annals of Statistics
publication date: 2009-02-06T00:00:00Z
full work available at URL: https://arxiv.org/abs/math/0609418
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 15B52
Mathematics Subject Classification ID: 90C25
Mathematics Subject Classification ID: 15A18
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62A09
zbMATH DE Number: 5503375
zbMATH Keywords: principal components analysis
zbMATH Keywords: eigenvalues of covariance matrices
zbMATH Keywords: high-dimensional inference
zbMATH Keywords: Stieltjes transform
zbMATH Keywords: Marčenko-Pastur equation
zbMATH Keywords: convex optimization
describes a project that uses: Mosek
describes a project that uses: PDCO
MaRDI profile type: Publication
arXiv ID: math/0609418
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description: scientific article