Trimmed estimators for large dimensional sparse covariance matrices

DOI10.1142/S2010326319500035zbMath1428.62242OpenAlexW2805959416WikidataQ129747090 ScholiaQ129747090MaRDI QIDQ5197365

Xia Cui, Guangren Yang

Publication date: 23 September 2019

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326319500035

zbMATH Keywords

covariance matrixthresholdingsparsetrimmed estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Optimal rates of convergence for sparse covariance matrix estimation
• Optimal rates of convergence for covariance matrix estimation
• Covariance regularization by thresholding
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Regularized estimation of large covariance matrices
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Generalized Thresholding of Large Covariance Matrices
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