03241nam 22007095 450 991050845570332120250320005259.09783030800659303080065210.1007/978-3-030-80065-9(CKB)5470000001298882(MiAaPQ)EBC6796340(Au-PeEL)EBL6796340(OCoLC)1286428618(PPN)25830023X(DE-He213)978-3-030-80065-9(EXLCZ)99547000000129888220211029d2021 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierHigh-Dimensional Covariance Matrix Estimation An Introduction to Random Matrix Theory /by Aygul Zagidullina1st ed. 2021.Cham :Springer International Publishing :Imprint: Springer,2021.1 online resource (123 pages)SpringerBriefs in Applied Statistics and Econometrics,2524-41249783030800642 3030800644 Foreword -- 1 Introduction -- 2 Traditional Estimators and Standard Asymptotics -- 3 Finite Sample Performance of Traditional Estimators -- 4 Traditional Estimators and High-Dimensional Asymptotics -- 5 Summary and Outlook -- Appendices.This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.SpringerBriefs in Applied Statistics and Econometrics,2524-4124StatisticsEconometricsBig dataStatisticsMachine learningStatistics in Business, Management, Economics, Finance, InsuranceEconometricsBig DataStatistical Theory and MethodsMachine LearningStatistics.Econometrics.Big data.Statistics.Machine learning.Statistics in Business, Management, Economics, Finance, Insurance.Econometrics.Big Data.Statistical Theory and Methods.Machine Learning.512.9434Zagidullina Aygul1071981MiAaPQMiAaPQMiAaPQBOOK9910508455703321High-Dimensional Covariance Matrix Estimation2568135UNINA