Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data

04/25/2018

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by   Saba Amsalu, et al.

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In this paper we propose two schemes for the recovery of the spectrum of a covariance matrix from the empirical covariance matrix, in the case where the dimension of the matrix is a subunitary multiple of the number of observations. We test, compare and analyze these on simulated data and also on some data coming from the stock market.