High-dimensional covariance matrix estimation: an introduction to random matrix theory
Auteur :
Zagidullina, Aygul
Éditeur :
Springer Nature Switzerland AG
ISBN :
9783030800642
Date de publication :
30 oct. 2021
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.