First-order null laws, kurtosis-immunity characterizations, and a spike-debiased absorption-ratio estimator are derived for spectral functionals of shrinkage covariance estimators on overlapping rolling windows.
Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
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New MIP estimator for sparse PCA under spiked covariance model with statistical guarantees and custom solver scaling to 20,000 features.
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Error Propagation in Spectral Functionals of Shrinkage Covariance Estimators: Perturbation Bounds and Calibrated Inference
First-order null laws, kurtosis-immunity characterizations, and a spike-debiased absorption-ratio estimator are derived for spectral functionals of shrinkage covariance estimators on overlapping rolling windows.
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Sparse PCA: A New Scalable Estimator Based On Integer Programming
New MIP estimator for sparse PCA under spiked covariance model with statistical guarantees and custom solver scaling to 20,000 features.