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most citedOperator norm consistent estimation of large-dimensional sparse covariance matrices

246 citations · 316 across the 4 of their papers we have counts for

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math.PR2005

Tracy--Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices

Noureddine El Karoui

We consider the asymptotic fluctuation behavior of the largest eigenvalue of certain sample covariance matrices in the asymptotic regime where both dimensions of the corresponding…