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20022012
most citedComposite quantile regression and the oracle Model Selection Theory

614 citations

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math.PR2006★ 12 cited

A CLT for regularized sample covariance matrices

Greg W. Anderson, Ofer Zeitouni

We consider the spectral properties of a class of regularized estimators of (large) empirical covariance matrices corresponding to stationary (but not necessarily Gaussian) sequenc…