"Spectrum estimation: A unified framework for covariance matrix estimation ..."

Olivier Ledoit, Michael Wolf (2015)

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DOI: 10.1016/J.JMVA.2015.04.006

access: open

type: Journal Article

metadata version: 2021-02-17

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Olivier Ledoit, Michael Wolf:
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions. J. Multivar. Anal. 139: 360-384 (2015)

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