Large deviations of extremal eigenvalues of sample covariance matrices.
Denise UwamariyaXiangfeng YangPublished in: J. Appl. Probab. (2023)
Keyphrases
- covariance matrices
- large deviations
- covariance matrix
- sample size
- maximum likelihood
- gaussian distribution
- distance measure
- gaussian mixture model
- vector space
- state dependent
- importance sampling
- feature vectors
- heavy tailed
- gaussian mixture
- multi class
- queue length
- linear classifiers
- principal components
- bayesian networks
- prior knowledge
- pairwise