MatFar88/A-large-covariance-matrix-estimator-under-intermediate-spikiness-regimes

This repository contains data and code relative to the manuscript "A large covariance matrix estimator under intermediate spikiness regimes" by Matteo Farnè and Angela Montanari (https://arxiv.org/abs/1711.08950).

语言：MATLAB · GitHub 星标：4 · Fork：3

话题：covariance-matrix · numerical-optimization · shrinkage

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