Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix

DOI10.1016/j.jmva.2021.104739zbMath1467.62095OpenAlexW3135147038MaRDI QIDQ2034455

Jie Zhou, Yihe Yang, Jian-Xin Pan

Publication date: 22 June 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104739

zbMATH Keywords

covariance matrixentropy lossnonconvex penaltyhigh-dimensionToeplitz covariance structure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• spcov

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