Sample Covariance Matrices of Heavy-Tailed Distributions
Author:
Affiliation:
1. Department of Math. and Stats. Sciences, University of Alberta, Edmonton, AB, Canada
Publisher
Oxford University Press (OUP)
Subject
General Mathematics
Link
http://academic.oup.com/imrn/article-pdf/2018/20/6254/26127510/rnx067.pdf
Reference33 articles.
1. “Quantitative estimates of the convergence of the empirical covariance matrix in log-concave ensembles.”;Adamczak;Journal of the American Mathematical Society,2010
2. “Sharp bounds on the rate of convergence of the empirical covariance matrix.”;Adamczak;Comptes Rendus Mathematique Académie des sciences Paris,2011
3. “Limit of the smallest eigenvalue of a large-dimensional sample covariance matrix.”;Bai;Annals of Probability,1993
4. “Covariance regularization by thresholding.”;Bickel;Annals of Statistics,2008
5. “Regularized estimation of large covariance matrices.”;Bickel;Annals of Statistics,2008
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