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Viser: Large Sample Covariance Matrices and High-Dimensional Data Analysis
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Zhidong Bai, Jianfeng Yao og Shurong Zheng
(2015)
Sprog: Engelsk
Detaljer om varen
- 1. Udgave
- Hardback: 322 sider
- Udgiver: Cambridge University Press (Marts 2015)
- Forfattere: Zhidong Bai, Jianfeng Yao og Shurong Zheng
- ISBN: 9781107065178
2. Limiting spectral distributions;
3. CLT for linear spectral statistics;
4. The generalised variance and multiple correlation coefficient;
5. The T2-statistic;
6. Classification of data;
7. Testing the general linear hypothesis;
8. Testing independence of sets of variates;
9. Testing hypotheses of equality of covariance matrices;
10. Estimation of the population spectral distribution;
11. Large-dimensional spiked population models;
12. Efficient optimisation of a large financial portfolio.