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Results tagged with random-matrix
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user 300015
A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.
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Concentration inequality for the sample covariance matrix
I'd like to know if there is a concentration inequality for the sample covariance matrix that don't assume the knowledge of the true mean.
Background.
Given a probability distribution $\mu$ on $\math …
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