✦ LIBER ✦
Rigorous stochastic bounds for the error in large covariance matrices
✍ Scribed by Albrecht Böttcher; David Wenzel
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 273 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0170-4214
- DOI
- 10.1002/mma.969
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✦ Synopsis
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 a deep result by Yin et al. (Probab. Theor. Relat. Fields 1988; 78:509–521), which gives the asymptotics of the maximal eigenvalue of a random matrix as the matrix dimension goes to infinity. Copyright © 2007 John Wiley & Sons, Ltd.