Minimax optimal estimation of general bandable covariance matrices

DOI10.1016/j.jmva.2012.11.003zbMath1277.62145OpenAlexW2046316070MaRDI QIDQ391515

Lingzhou Xue, Hui Zou

Publication date: 10 January 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.11.003

zbMATH Keywords

Frobenius normspectral normtaperingadaptive minimaxminimax optimal rates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Minimax procedures in statistical decision theory (62C20)

Related Items (2)

Optimal Bayesian minimax rates for unconstrained large covariance matrices ⋮ Estimating Large Precision Matrices via Modified Cholesky Decomposition

Cites Work

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• Regularized estimation of large covariance matrices
• A new approach to Cholesky-based covariance regularization in high dimensions
• Generalized Thresholding of Large Covariance Matrices
• Covariance matrix selection and estimation via penalised normal likelihood
• Introduction to nonparametric estimation

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