Covariance estimation via sparse Kronecker structures

DOI10.3150/17-BEJ980zbMath1415.62033OpenAlexW2750257925MaRDI QIDQ1750103

Chenlei Leng, Guangming Pan

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1524038771

zbMATH Keywords

covariance matrixnon-asymptotic boundKronecker structurematrix data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Related Items

Statistical inference on the significance of rows and columns for matrix-valued data in an additive model, Kronecker-structured covariance models for multiway data, Robust tests for scatter separability beyond Gaussianity, Asymptotic properties on high-dimensional multivariate regression M-estimation, Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data, Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate

Uses Software

• spcov

Cites Work

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