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Normal Approximation and Concentration for Functions of Sample Covariance Operators

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If you have a question about this talk, please contact Quentin Berthet.

We will discuss several results concerning normal approximation and concentration properties of functions of sample covariance operators, including, in particular, their spectral projection operators that are of crucial importance in principle component analysis. The problem will be studied in a dimension-free framework with complexity being characterized by the so called ``effective rank’’ of the true covariance.

This talk is part of the Statistics series.

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