Strong Approximation of Eigenvalues of Large Dimensional Wishart Matrices by Roots of Generalized Laguerre Polynomials.
Holger DettePublished in: J. Approx. Theory (2002)
Keyphrases
- positive definite
- covariance matrix
- symmetric matrices
- gram matrix
- eigenvalues and eigenvectors
- correlation matrix
- lagrange interpolation
- singular value decomposition
- eigendecomposition
- multi dimensional
- covariance matrices
- function approximation
- singular values
- eigenvalue problems
- matrix representation
- kernel matrix
- series expansion
- low rank approximation
- approximation methods
- approximation error
- low rank matrix approximation
- principal components
- closed form
- principal component analysis