no code implementations • 12 Apr 2022 • Maaz Mahadi, Tarig Ballal, Muhammad Moinuddin, Tareq Y. Al-Naffouri, Ubaid Al-Saggaf
In a high-dimensional setting, it is well known that the sample covariance matrix is not a proper estimator of the true covariance matrix since it is not invertible when we have fewer observations than the data dimension.