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Volumn 38, Issue 13 SPEC. ISS., 2007, Pages 4079-4088
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Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance
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Author keywords
[No Author keywords available]
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Indexed keywords
ALGORITHMS;
COMPUTATIONAL EFFICIENCY;
CORRELATION METHODS;
GAUSSIAN DISTRIBUTION;
MATRIX ALGEBRA;
MULTIVARIABLE SYSTEMS;
FILTERING METHODS;
KULLBACK-LEIBLER DISTANCE;
RANDOM MATRIX THEORY;
RANDOM PROCESSES;
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EID: 38549108437
PISSN: 05874254
EISSN: None
Source Type: Conference Proceeding
DOI: None Document Type: Conference Paper |
Times cited : (22)
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References (19)
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