Dobriban, Edgar 2015. Efficient computation of limit spectra of sample covariance matrices. Random Matrices: Theory and Applications, Vol. 04, Issue. 04, p. 1550019.
Dillon and Goldstein (1984) provide the following formal definition of principal components analysis (PCA): Principal components analysis transforms the original set of variables into a smaller set of ...
Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall volatility for a portfolio. A positive covariance ...
Robert Stelzer, MathSciNet 'This book deals with the analysis of covariance matrices under two different assumptions: large-sample theory and high-dimensional-data theory. While the former approach is ...
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