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High-Dimensional Covariance Matrix Estimation: An Introduction to Random Matrix Theory (SpringerBriefs in Applied Statistics and Econometrics) - Softcover

Zagidullina, Aygul

 
9783030800642: High-Dimensional Covariance Matrix Estimation: An Introduction to Random Matrix Theory (SpringerBriefs in Applied Statistics and Econometrics)
Softcover
ISBN 10: 3030800644 ISBN 13: 9783030800642
Verlag: Springer, 2021

Inhaltsangabe

This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.

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Über die Autorin bzw. den Autor

Aygul Zagidullina received her Ph.D. in Quantitative Economics and Finance from the University of Konstanz, Germany, with a specialization in the areas of financial econometrics and statistical modeling. Her research interests include estimation of high-dimensional covariance matrices, machine learning, factor models and neural networks.


Von der hinteren Coverseite

This book presents covariance matrix estimation and related aspects of random matrix theory. It focuses on the sample covariance matrix estimator and provides a holistic description of its properties under two asymptotic regimes: the traditional one, and the high-dimensional regime that better fits the big data context. It draws attention to the deficiencies of standard statistical tools when used in the high-dimensional setting, and introduces the basic concepts and major results related to spectral statistics and random matrix theory under high-dimensional asymptotics in an understandable and reader-friendly way. The aim of this book is to inspire applied statisticians, econometricians, and machine learning practitioners who analyze high-dimensional data to apply the recent developments in their work.

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Verlag
Springer
Erscheinungsdatum
2021
Sprache
Englisch
ISBN 10 
3030800644
ISBN 13 
9783030800642
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
132
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