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Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models.
Junlong Zhao
Hongyu Zhao
Lixing Zhu
Published in:
Stat. Comput. (2018)
Keyphrases
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covariance matrix
high dimensional
principal component analysis
positive definite
probabilistic model
gaussian mixture
covariance matrices
mahalanobis distance
machine learning
feature extraction
special case
data points
dimensionality reduction
symmetric matrix