596 citations · 617 across the 4 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2018
High-dimensional covariance matrix estimation using a low-rank and diagonal decomposition
Yilei Wu, Yingli Qin, Mu Zhu
We study high-dimensional covariance/precision matrix estimation under the assumption that the covariance/precision matrix can be decomposed into a low-rank component L and a diago…
stat.ME2013★ 4 cited
Estimation of the population spectral distribution from a large dimensional sample covariance matrix
Weiming Li, Jiaqi Chen, Yingli Qin +2
This paper introduces a new method to estimate the spectral distribution of a population covariance matrix from high-dimensional data. The method is founded on a meaningful general…