How Close is the Sample Covariance Matrix to the Actual Covariance Matrix?

Author:

Vershynin Roman

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference29 articles.

1. Adamczak, R., Litvak, A., Pajor, A., Tomczak-Jaegermann, N.: Quantitative estimates of the convergence of the empirical covariance matrix in log-concave ensembles. J. Am. Math. Soc. 234, 535–561 (2010)

2. Adamczak, R., Litvak, A., Pajor, A., Tomczak-Jaegermann, N.: Sharp bounds on the rate of convergence of the empirical covariance matrix. Preprint

3. Aubrun, G.: Sampling convex bodies: a random matrix approach. Proc. Am. Math. Soc. 135, 1293–1303 (2007)

4. Math. Sci. Res. Inst. Publ.;K. Ball,1997

5. Bai, Z.D., Yin, Y.Q.: Limit of the smallest eigenvalue of a large dimensional sample covariance matrix. Ann. Probab. 21, 1275–1294 (1993)

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