The masked sample covariance estimator: an analysis using matrix concentration inequalities

DOI10.1093/imaiai/ias001OpenAlexW2144164089MaRDI QIDQ2869798

Richard Y. Chen, Alex Gittens, Joel A. Tropp

Publication date: 6 January 2014

Published in: Information and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.1637

zbMATH Keywords

random matrixSchur productcovariance estimationmatrix concentration inequalitymatrix Khintchine inequalitymatrix rosenthal inequality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

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