论文标题
恢复协方差矩阵的频谱：一种非反应迭代方法
Recover the spectrum of covariance matrix: a non-asymptotic iterative method
论文作者
论文摘要
众所周知，样本协方差在频谱中具有一致的偏差，例如，遵循Marchenko-pastur定律的Wishart矩阵。在这项工作中，我们引入了一种“浓度”的迭代算法，该算法会积极消除这种偏见并恢复小小和中等维度的真实频谱。
It is well known the sample covariance has a consistent bias in the spectrum, for example spectrum of Wishart matrix follows the Marchenko-Pastur law. We in this work introduce an iterative algorithm 'Concent' that actively eliminate this bias and recover the true spectrum for small and moderate dimensions.
