High-dimensional covariance matrix estimation : an introduction to random matrix theory / Aygul Zagidullina.

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...

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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Zagidullina, Aygul (Author)
Format:	eBook
Language:	English
Published:	Cham : Springer, [2021]
Series:	SpringerBriefs in applied statistics and econometrics.
Subjects:	Random matrices. Asymptotic efficiencies (Statistics) Multivariate analysis.