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The problem of estimating the covariance matrix $\Sigma$ of a $p$-variate distribution based on its $n$ observations arises in many data analysis contexts.
Toeplitz forms and their applications
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M. Talagrand · 1988
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Concentration of measure inequalities for Markov chains and Φ \Phi -mixing processes
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Optimal rates of convergence for estimating Toeplitz covariance matrices
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