TY  - GEN
N2  - 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. 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. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.
DO  - 10.1007/978-3-030-80065-9
DO  - doi
AB  - 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. 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. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.
T1  - High-dimensional covariance matrix estimation :an introduction to random matrix theory /
AU  - Zagidullina, Aygul,
CN  - QA276.8
ID  - 1440693
KW  - Random matrices.
KW  - Asymptotic efficiencies (Statistics)
KW  - Multivariate analysis.
KW  - Matrices aléatoires.
KW  - Efficacité asymptotique (Statistique)
KW  - Analyse multivariée.
SN  - 9783030800659
SN  - 3030800652
TI  - High-dimensional covariance matrix estimation :an introduction to random matrix theory /
LK  - https://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-80065-9
UR  - https://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-80065-9
ER  -