We study a class of separable sample covariance matrices of the form 𝒬̃1 := Ã1/2 X B̃ X* Ã1/2. Here, Ã and B̃ are positive definite matrices whose spectrums consist of bulk spectrums plus several ...
This paper deals with the detection and identification of changepoints among covariances of high-dimensional longitudinal data, where the number of features is greater than both the sample size and ...
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