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Covariance selection by thresholding the sample correlation matrix

✍ Scribed by Jiang, Binyan


Book ID
121669695
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
373 KB
Volume
83
Category
Article
ISSN
0167-7152

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Eigenelement Statistics of Sample Covari
✍ Petre Stoica; Torsten SΓΆderstrΓΆm πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 186 KB

This paper derives the asymptotic second-order moments of the distinct eigenvalues and the corresponding eigenvectors of a sample covariance matrix in the correlated snapshot case. The general moment formulas obtained herein encompass several previously published results as special cases. The formul