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Difference Filter Preconditioning for Large Covariance Matrices

✍ Scribed by Stein, Michael L.; Chen, Jie; Anitescu, Mihai

Book ID: 118212061
Publisher: Society for Industrial and Applied Mathematics
Year: 2012
Tongue: English
Weight: 296 KB
Volume: 33
Category: Article
ISSN: 0895-4798
DOI: 10.1137/110834469

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## Abstract This paper is motivated by recent studies of Huang __et al__. on distributed PCA and network anomaly detection and contains a rigorous derivation of bounds for the expected value and the variance of the spectral norm of the error in large covariance matrices. This derivation is based on