scholarly journals Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

2013 ◽  
Author(s):  
Olivier Ledoit ◽  
Michael Wolf
Keyword(s):  
Covariance Matrix ◽  
Covariance Matrix Estimation ◽  
Spectrum Estimation ◽  
Unified Framework ◽  
Matrix Estimation

Sparse and Low-Rank Covariance Matrix Estimation

2014 ◽  
Vol 3 (2) ◽  
pp. 231-250 ◽  
Author(s):  
Sheng-Long Zhou ◽  
Nai-Hua Xiu ◽  
Zi-Yan Luo ◽  
Ling-Chen Kong
Keyword(s):  
Covariance Matrix ◽  
Low Rank ◽  
Covariance Matrix Estimation ◽  
Matrix Estimation
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