Minimax estimation of large precision matrices with bandable Cholesky factor
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Publication:2215744
DOI10.1214/19-AOS1893zbMath1458.62114arXiv1712.09483MaRDI QIDQ2215744
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.09483
Frobenius normminimax lower boundthresholdingadaptive estimationoperator normoptimal rate of convergenceprecision matrixCholesky factorlocal cropping
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)
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