Journal of Multivariate Analysis · 2009 · 26 citations · 17 references
ComputingBiostatisticsStochastic ProcessesTime Series AnalysisLimit TheoremsMatrix ComputationSpectral AnalysisCovariance Matrix EstimationMultivariate Central Limit TheoremRandom MatricesRandom Matrix TheorySpectral Asymptotics
17
Regularized estimation of large covariance matrices
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