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math.ST2009★ 246 cited
Operator norm consistent estimation of large-dimensional sparse covariance matrices
Noureddine El Karoui
Estimating covariance matrices is a problem of fundamental importance in multivariate statistics. In practice it is increasingly frequent to work with data matrices of dimensio…
math.ST2006★ 11 cited
Spectrum estimation for large dimensional covariance matrices using random matrix theory
Noureddine El Karoui
Estimating the eigenvalues of a population covariance matrix from a sample covariance matrix is a problem of fundamental importance in multivariate statistics; the eigenvalues of c…
math.ST2003
On the largest eigenvalue of Wishart matrices with identity covariance when n, p and p/n tend to infinity
Noureddine El Karoui
Let X be a n*p matrix and l_1 the largest eigenvalue of the covariance matrix X^{*}*X. The "null case" where X_{i,j} are independent Normal(0,1) is of particular interest for princ…