Book of Donmon Teith

Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multiv

This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a

Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multiv

High-dimensional data appear in many fields, and their analysis has become increasingly important in modern statistics. However, it has long been observed that

An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.