Rotational Invariant Estimator for General Noisy Matrices
Rotational Invariant Estimator for General Noisy Matrices
We investigate the problem of estimating a given real symmetric signal matrix $\textbf{C}$ from a noisy observation matrix $\textbf{M}$ in the limit of large dimension. We consider the case where the noisy measurement $\textbf{M}$ comes either from an arbitrary additive or multiplicative rotational invariant perturbation. We establish, using the Replica …