Covariance selection by thresholding the sample correlation matrix

DOI10.1016/j.spl.2013.07.008zbMath1283.62123OpenAlexW2079976213MaRDI QIDQ2438493

Binyan Jiang

Publication date: 5 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/sis_research/2049

zbMATH Keywords

large covariance matrixBernstein type inequalitylarge correlation matrix

Mathematics Subject Classification ID

Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions

Cites Work

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• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• Covariance regularization by thresholding
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• On the sparsity of signals in a random sample
• Probability Inequalities for the Sum of Independent Random Variables
• On Gamma Function Inequalities
• Generalized Thresholding of Large Covariance Matrices

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