Large Sample Covariance Matrices and High-Dimensional Data Analysis
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Yao, Jianfeng; Bai, Zhidong; Zheng, Shurong
Cambridge University Press
03/2015
322
Dura
Inglês
9781107065178
770
Descrição não disponível.
1. Introduction; 2. Limiting spectral distributions; 3. CLT for linear spectral statistics; 4. The generalised variance and multiple correlation coefficient; 5. The T2-statistic; 6. Classification of data; 7. Testing the general linear hypothesis; 8. Testing independence of sets of variates; 9. Testing hypotheses of equality of covariance matrices; 10. Estimation of the population spectral distribution; 11. Large-dimensional spiked population models; 12. Efficient optimisation of a large financial portfolio.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
1. Introduction; 2. Limiting spectral distributions; 3. CLT for linear spectral statistics; 4. The generalised variance and multiple correlation coefficient; 5. The T2-statistic; 6. Classification of data; 7. Testing the general linear hypothesis; 8. Testing independence of sets of variates; 9. Testing hypotheses of equality of covariance matrices; 10. Estimation of the population spectral distribution; 11. Large-dimensional spiked population models; 12. Efficient optimisation of a large financial portfolio.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
