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We give a new algorithm for the estimation of the cross-covariance matrix $\mathbb{E} XY'$ of two large dimensional signals $X\in\mathbb{R}^n$, $Y\in \mathbb{R}^p$ in the context where the number $T$ of observations of the pair $(X,Y)$ is large but $n/T$ and $p/T$ are not supposed to be small.
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Benaych-Georges, F. A very short proof of Ledoit-Péché’s RIE formula for covariance matrices . Unpublished note available at http://www.cmapx.polytechnique.fr/~benaych/Short_proof_of_Ledoit_Peche.pdf
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2019
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