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