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Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates

โœ Scribed by Mestre, X.


Book ID
114641533
Publisher
IEEE
Year
2008
Tongue
English
Weight
858 KB
Volume
54
Category
Article
ISSN
0018-9448

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Asymptotics of Eigenvalues and Unit-Leng
โœ T. Kollo; H. Neudecker ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 492 KB

Multivariate asymptotic (normal) distributions for eigenvalues and unit-length eigenvectors of sample variance and correlation matrices are derived. Beside the general case, when existence of the (finite) fourth-order moments of the population distribution is assumed, formulae for the asymptotic var