Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data


الملخص بالإنكليزية

In this paper we propose two schemes for the recovery of the spectrum of a covariance matrix from the empirical covariance matrix, in the case where the dimension of the matrix is a subunitary multiple of the number of observations. We test, compare and analyze these on simulated data and also on some data coming from the stock market.

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