Free Probability, Sample Covariance Matrices and Stochastic Eigen-Inference
نویسندگان
چکیده
Free probability provides tools and techniques for studying the spectra of large Hermitian random matrices. These stochastic eigen-analysis techniques have been invaluable in providing insight into the structure of sample covariance matrices. We briefly outline how these techniques can be used to analytically predict the spectrum of large sample covariance matrices. We discuss how these eigen-analysis tools can be used to develop eigen-inference methodologies.
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