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We consider the problem of approximating the set of eigenvalues of the covariance matrix of a multivariate distribution (equivalently, the problem of approximating the "population spectrum"), given access to samples drawn from the distribution.
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Zdzisław Burda, Jerzy Jurkiewicz, and Bartłomiej Wacław · 2005
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A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics
Juliane Schäfer and Korbinian Strimmer · 2005
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Peter J Bickel and Elizaveta Levina · 2008
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On the exact space complexity of sketching and streaming small norms
Daniel M Kane, Jelani Nelson, and David P Woodruff · 2010
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Eigenvectors of some large sample covariance matrix ensembles
Olivier Ledoit and Sandrine Péché · 2011
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Nonlinear shrinkage estimation of large-dimensional covariance matrices
Olivier Ledoit and Michael Wolf · 2011
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Randomized algorithms for matrices and data
Michael W Mahoney · 2011
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Estimating the unseen: an n/log (n)-sample estimator for entropy and support size, shown optimal via new CLTs
Gregory Valiant and Paul Valiant · 2011
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Johan de De Villiers · 2012
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Zhidong Bai and Jack W Silverstein · 2010
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