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Estimating the covariance of random matrices
Abstract : We extend to the matrix setting a recent result of Srivastava-Vershynin about estimating the covariance matrix of a random vector. The result can be in- terpreted as a quantified version of the law of large numbers for positive semi-definite matrices which verify some regularity assumption. Beside giving examples, we dis- cuss the notion of log-concave matrices and give estimates on the smallest and largest eigenvalues of a sum of such matrices.
Cited literature [22 references]
https://hal-upec-upem.archives-ouvertes.fr/hal-00811808
Contributor : Pierre Youssef <>
Submitted on : Thursday, April 11, 2013 - 10:36:49 AM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Long-term archiving on: : Monday, April 3, 2017 - 4:02:59 AM
Contributor : Pierre Youssef <>
Submitted on : Thursday, April 11, 2013 - 10:36:49 AM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Long-term archiving on: : Monday, April 3, 2017 - 4:02:59 AM
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