High-Dimensional Covariance Matrix Estimation: An Introduction to Random Matrix Theory by Aygul Zagidullina
English | PDF,EPUB | 2021 | 123 Pages | ISBN : 3030800644 | 16.2 MB
This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context.