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

Olivier Ledoit Michael Wolf

Published in: J. Multivar. Anal. (2015)

Keyphrases

covariance matrix
principal component analysis
estimation error
principal components analysis
covariance matrices
eigendecomposition
parameter estimation
sample size
geometrical interpretation
probabilistic model
maximum likelihood
independent component analysis
density estimation
positive definite