On variance of sample matrix eigenvalue.
Janusz L. WywialGrzegorz SitekPublished in: Commun. Stat. Simul. Comput. (2021)
Keyphrases
- covariance matrix
- sample size
- perturbation theory
- positive definite
- eigenvalue problems
- pseudo inverse
- variance estimator
- principal component analysis
- symmetric matrix
- normal distribution
- singular value decomposition
- correlation matrix
- real time
- small sample
- standard deviation
- similarity matrix
- random matrix theory
- rows and columns
- sample points
- low rank
- sufficient conditions
- upper bound
- optimal solution
- search engine