Two-group classification with high-dimensional correlated data: A factor model approach
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- Ledoit, Olivier & Wolf, Michael, 2015.
"Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions,"
Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
- Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers 105, Department of Economics - University of Zurich, revised Jul 2013.
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Keywords
Discriminant Analysis High dimensionality Expected misclassification rates Microarray classification;Statistics
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