Journal
SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS
Volume 39, Issue 2, Pages 922-931Publisher
SIAM PUBLICATIONS
DOI: 10.1137/17M1137541
Keywords
statistical estimation; small-sample estimation; norm estimation; condition number estimation
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We derive improved error bounds for small-sample statistical estimation of the matrix Frobenius norm. The bounds rigorously establish that small-sample estimators provide reliable order-of-magnitude estimates of norms and condition numbers, for matrices of arbitrary rank, even when very few random samples are used.
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