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On the largest singular values of certain large random matrices with application to the estimation of the minimal dimension of the state-space representations of high-dimensional time series.
Daria Tieplova
Philippe Loubaton
Published in:
CoRR (2021)
Keyphrases
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singular values
state space
singular value decomposition
high dimensional time series
low rank
matrix completion
image processing
dynamic programming
data sets
feature selection
pattern recognition
small number
high order