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Gibbs sampler for computing and propagating large covariance matrices

✍ Scribed by B. Gundlich; K.-R. Koch; J. Kusche


Book ID
105858263
Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
619 KB
Volume
77
Category
Article
ISSN
1432-1394

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Rigorous stochastic bounds for the error
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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