Optimal cleaning for singular values of cross-covariance matrices

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Optimal cleaning for singular values of cross-covariance matrices

16 January 2019

Florent Benaych-Georges

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Papers citing "Optimal cleaning for singular values of cross-covariance matrices"

7 / 7 papers shown

Title
Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data S. Amsalu Juntao Duan H. Matzinger Ionel Popescu 18 2 0 25 Apr 2018
Structured Matrix Estimation and Completion Olga Klopp Yu Lu Alexandre B. Tsybakov Harrison H. Zhou 130 20 0 07 Jul 2017
Cleaning large correlation matrices: tools from random matrix theory J. Bun J. Bouchaud M. Potters 77 266 0 25 Oct 2016
Estimation of Low-Rank Covariance Function V. Koltchinskii Karim Lounici Alexandre B. Tsybakov 46 2 0 12 Apr 2015
Robust Matrix Completion Olga Klopp Karim Lounici Alexandre B. Tsybakov 99 124 0 28 Dec 2014
Eigenvectors of some large sample covariance matrix ensembles Olivier Ledoit S. Péché 121 232 0 16 Nov 2009
Operator norm consistent estimation of large-dimensional sparse covariance matrices N. Karoui 231 398 0 21 Jan 2009

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