Low-Rank Covariance Matrix Estimation for Factor Analysis in Anisotropic Noise: Application to Array Processing and Portfolio Selection

Petre Stoica, Prabhu Babu. Low-Rank Covariance Matrix Estimation for Factor Analysis in Anisotropic Noise: Application to Array Processing and Portfolio Selection. IEEE Transactions on Signal Processing, 71:1699-1711, 2023. [doi]

Abstract

Abstract is missing.