Estimating covariance and precision matrices along subspaces
DOI10.1214/20-EJS1782zbMath1461.62067arXiv1909.12218MaRDI QIDQ2219236
Publication date: 19 January 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.12218
rate of convergencedimension reductionfinite sample boundscovariance matrixordinary least squaresprecision matrixsingle-index model
Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Generalized linear models (logistic models) (62J12) Analysis of variance and covariance (ANOVA) (62J10)
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