- Regularized estimation of large covariance matrices
2008/02/01 by Peter J. Bickel, Elizaveta Levina · 40 citations
Computer Science · Mathematics · #Covariance #Covariance function #Covariance intersection #Covariance matrix #Covariance operator #Distributed Sensor Networks and Detection Algorithms #Eigenvalues and eigenvectors #Estimation of covariance matrices #Random Matrices and Applications #Rational quadratic covariance function #Statistical Methods and Inference #White noise #math.ST #msc:62F12 #msc:62G09 #msc:62H12 #stat.TH
- Measuring and testing dependence by correlation of distances
2007/12/01 by Gábor J. Székely, Maria L. Rizzo, Nail K. Bakirov · 99 citations
Agricultural and Biological Sciences · Economics, Econometrics and Finance · Mathematics · #Correlation #Covariance #Covariance and correlation #Covariance function #Covariance matrix #Distance correlation #Euclidean distance #Financial Risk and Volatility Modeling #Independence (probability theory) #Measure (data warehouse) #Monte Carlo method #Sensory Analysis and Statistical Methods #Statistical Methods and Inference #math.ST #msc:62G10 #msc:62H20 #stat.TH
- Refinement and generalization of the extension method of covariance matrix inversion by regularization for spectral filtering optimization
2004/01/07 by David R. Twede, Andreas F. Hayden · 1 citation
Computer Science · Engineering · Mathematics · Physics and Astronomy · #Algorithm #Artificial intelligence #Computer science #Covariance #Covariance function #Covariance matrix #Curse of dimensionality #Eigendecomposition of a matrix #Eigenvalues and eigenvectors #Estimation of covariance matrices #Image and Signal Denoising Methods #Inversion (geology) #Mathematics #Optical and Acousto-Optic Technologies #Physics #Remote-Sensing Image Classification #Sample matrix inversion #Statistics
- A well-conditioned estimator for large-dimensional covariance matrices
2003/07/16 by Olivier Ledoit, Michael Wolf · 209 citations
Computer Science · Mathematics · #Applied mathematics #Covariance #Covariance function #Covariance intersection #Covariance matrix #Eigenvalues and eigenvectors #Estimation of covariance matrices #Estimator #Identity matrix #Invertible matrix #Law of total covariance #Markov Chains and Monte Carlo Methods #Mathematics #Matrix (chemical analysis) #Matrix Theory and Algorithms #Pure mathematics #Random Matrices and Applications #Rational quadratic covariance function #Statistics