Multivariate Statistical Analysis : A High-Dimensional Approach (Theory and Decision Library Series B, Mathematical and Statistical Methods)

Commonly used standard linear multivari­ ate procedures based on the inversion of sample covariance matrices can lead to unstable results or provide no solution in dependence of data. The probability of data degeneration increases with the dimension n, and for n > N, where N is the sample size, the sample covariance matrix has no inverse.