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Böttcher, Albrecht; Wenzel, David : Rigorous Stochastic Bounds for the Error in Large Covariance Matrices

Böttcher, Albrecht ; Wenzel, David : Rigorous Stochastic Bounds for the Error in Large Covariance Matrices

Author(s):
Böttcher, Albrecht
Wenzel, David
Title:
Rigorous Stochastic Bounds for the Error in Large Covariance Matrices
Electronic source:
application/pdf
Preprint series:
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 26, 2006
Mathematics Subject Classification:
15A52 [ Random matrices ]
Abstract:
This note is motivated by recent studies of Ling Huang et al. on distributed PCA and network anomaly detection and contains a rigorous derivation of bounds for the expected value and the variance of the spectral norm of the error in large covariance matrices.
Keywords:
covariance matrix, stochastic bounds, spectral norm, expected value, Hadamard product
Language:
English
Publication time:
12 / 2006