Recovery of spectrum from estimated covariance matrices and statistical kernels for machine learning and big data (1804.09472v1)

Abstract: In this paper we propose two schemes for the recovery of the spectrum of a covariance matrix from the empirical covariance matrix, in the case where the dimension of the matrix is a subunitary multiple of the number of observations. We test, compare and analyze these on simulated data and also on some data coming from the stock market.