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Accuracy of empirical projections of high-dimensional Gaussian matrices
high-dimensional Gaussian matrices Probability
2011/9/22
Abstract: Let $epsilon\in\R^{M\times M}$ be a centered Gaussian matrix whose entries are independent with variance $\sigma^2$. The accuracy of reduced-rank projections of $X=C+epsilon$ with a determin...
Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
conformal stochastic integrals Widder's representation Hermite series
2011/9/21
Abstract: In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian mot...