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High-Dimensional Covariance Matrix Estimation

- An Introduction to Random Matrix Theory

About High-Dimensional Covariance Matrix Estimation

It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way.

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  • Language:
  • English
  • ISBN:
  • 9783030800642
  • Binding:
  • Paperback
  • Pages:
  • 115
  • Published:
  • October 29, 2021
  • Edition:
  • 12021
  • Dimensions:
  • 155x235x0 mm.
  • Weight:
  • 215 g.
Delivery: 2-4 weeks
Expected delivery: March 2, 2025

Description of High-Dimensional Covariance Matrix Estimation

It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way.

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