On estimators for eigenvalue/eigenvector approximations.
Luka GrubisicJeffrey S. OvallPublished in: Math. Comput. (2009)
Keyphrases
- covariance matrix
- analytical expressions
- variance reduction
- principal component analysis
- least squares
- eigendecomposition
- sample size
- linear combination
- closed form expressions
- policy evaluation
- central limit theorem
- asymptotic properties
- neural network
- efficient computation
- robust estimation
- spectral clustering
- hessian matrix
- risk measures
- random walk
- data mining
- real time
- eigenvalue problems
- random matrix theory