High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition

DOI10.1002/CJS.11532zbMath1492.62099arXiv1802.06048OpenAlexW2996477127MaRDI QIDQ5094335

Mu Zhu, Yilei Wu, Ying-Li Qin

Publication date: 2 August 2022

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06048

zbMATH Keywords

consistencyAkaike information criterioncoordinate descentKullback-Leibler losseigen-decompositionMarkowitz portfolio selectionlog-determinant semi-definite programming

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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