A new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much more flexible than existing models and subsumes most of them as special cases. A Fisher ...

In this paper we prove the universality of covariance matrices of the form HN × N = X†X where X is an M × N rectangular matrix with independent real valued ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...

Differential privacy has become the gold standard for rigorous privacy guarantees. This has spurred the development of many differentially-private mechanisms for various types of queries. In ...