论文标题
Ledoit-Péché的RIE公式用于协方差矩阵的简短证明
A short proof of Ledoit-Péché's RIE formula for covariance matrices
论文作者
论文摘要
这是Ledoit-Péché的Rie公式用于协方差矩阵的简短证明。证明基于Stein公式，该公式提供了一种非常简单的方法来得出结果。这种方法的优点之一是，它表明，要使机械工作的唯一真正需要的假设是，真正协方差矩阵的特征值和最大的均值具有相同的顺序。
This is a short proof of Ledoit-Péché's RIE formula for covariance matrices. The proof is based on the Stein formula, which gives a very simple way to derive the result. One of the advantages of this approach is that it shows that the only really needed hypothesis, for the machinery to work, is that the mean of the eigenvalues of the true covariance matrix and the largest of them have the same order.
