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High-Dimensional Covariance Matrix Estimation: An Introduction to Random Matrix Theory /
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Catalogue Information
Field name
Details
Dewey Class
300.727
Title
High-Dimensional Covariance Matrix Estimation ([EBook] :) : An Introduction to Random Matrix Theory / / by Aygul Zagidullina.
Author
Zagidullina, Aygul
Other name(s)
SpringerLink (Online service)
Edition statement
1st ed. 2021.
Publication
Cham : : Springer International Publishing : : Imprint: Springer, , 2021.
Physical Details
XIV, 115 p. 26 illus. in color. : online resource.
Series
SpringerBriefs in Applied Statistics and Econometrics
2524-4124
ISBN
9783030800659
Summary Note
This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.:
Contents note
Foreword -- 1 Introduction -- 2 Traditional Estimators and Standard Asymptotics -- 3 Finite Sample Performance of Traditional Estimators -- 4 Traditional Estimators and High-Dimensional Asymptotics -- 5 Summary and Outlook -- Appendices.
Mode of acces to digital resource
Mode of access: World Wide Web. System requirements: Internet Explorer 6.0 (or higher) or Firefox 2.0 (or higher). Available as searchable text in PDF format.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
https://doi.org/10.1007/978-3-030-80065-9
Links to Related Works
Subject References:
Big Data
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Econometrics
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Machine Learning
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Statistical Theory and Methods
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Statistics
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Statistics in Business, Management, Economics, Finance, Insurance
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Authors:
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Zagidullina, Aygul
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Corporate Authors:
SpringerLink (Online service)
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Series:
SpringerBriefs in Applied Statistics and Econometrics
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Classification:
300.727
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