Changwon Yoon

Joint estimation of high-dimensional spiked covariance matrices via a partially shared subspace

Changwon Yoon, Minwoo Kim, Sungkyu Jung, Jeongyoun Ahn

Statistical analysis of high-dimensional data is often hampered by limited sample sizes, yet auxiliary datasets from related sources are often readily available. When two such datasets share part of their covariance structure, but not all of it, exploiting the shared part can sub…Read more