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Optimal estimation of sparse correlation matrices of semiparametric Gaussian copulas

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Publication:1748867
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DOI10.4310/SII.2014.v7.n2.a5zbMath1388.62091MaRDI QIDQ1748867

Hui Zou, Lingzhou Xue

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)


zbMATH Keywords

thresholdingrank correlationminimax optimalityweak \(\ell_q\) ball


Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)


Related Items (5)

Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation ⋮ Rejoinder of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation ⋮ Robust covariance and scatter matrix estimation under Huber's contamination model




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