Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data

Saba Amsalu; Juntao Duan; Heinrich Matzinger; Ionel Popescu

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arXiv · 1804.09472

Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data

Saba Amsalu·Juntao Duan·Heinrich Matzinger·Ionel Popescu

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Abstract

In this paper we propose two schemes for the recovery of the spectrum of a covariance matrix from the empirical covariance matrix, in the case where the dimension of the matrix is a subunitary multiple of the number of observations. We test, compare and analyze these on simulated data and also on some data coming from the stock market.

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Saba Amsalu, Juntao Duan, Heinrich Matzinger, Ionel Popescu. 2018-04-25. Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data. https://arxiv.org/abs/1804.09472

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