Skip to main content
Book cover

High-Dimensional Covariance Matrix Estimation

An Introduction to Random Matrix Theory

  • Book
  • © 2021

Overview

  • Presents random matrix theory and covariance matrix estimation under high-dimensional asymptotics
  • Demonstrates the deficiencies of the standard statistical tools when applied in high dimensions
  • Encourages practitioners to use the new techniques when dealing with big data problems

This is a preview of subscription content, log in via an institution to check access.

Access this book

eBook USD 54.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 69.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (5 chapters)

Keywords

About this book

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.

Authors and Affiliations

  • Department of Economics, University of Konstanz, Konstanz, Germany

    Aygul Zagidullina

About the author

Aygul Zagidullina received her Ph.D. in Quantitative Economics and Finance from the University of Konstanz, Germany, with a specialization in the areas of financial econometrics and statistical modeling. Her research interests include estimation of high-dimensional covariance matrices, machine learning, factor models and neural networks.


Bibliographic Information

Publish with us