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Results tagged with random-matrices
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user 156792
Statistics of spectral properties of matrix-valued random variables.
3
votes
Accepted
Concentration inequality for the sample covariance matrix
A variant of this (taking $\frac1m$ instead of $\frac1{m-1}$ for the empirical covariance) is answered on Proposition 2.6, page 10 of https://arxiv.org/pdf/2110.06357.pdf .
- 903
3
votes
1
answer
801
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Concentration inequality for the sample covariance matrix
I'd like to know if there is a concentration inequality for the sample covariance matrix that don't assume the knowledge of the true mean.
Background.
Given a probability distribution $\mu$ on $\math …
- 903