68 citations · 160 across the 28 of their papers we have counts for
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math.PR2017
On the overestimation of the largest eigenvalue of a covariance matrix
Soufiane Hayou
In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalu…
math.ST2017
Cleaning the correlation matrix with a denoising autoencoder
Soufiane Hayou
In this paper, we use an adjusted autoencoder to estimate the true eigenvalues of the population correlation matrix from the sample correlation matrix when the number of samples is…