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]

Authors

Petre Stoica

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Prabhu Babu

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