Bandwidth Selection for High-Dimensional Covariance Matrix Estimation

DOI10.1080/01621459.2014.950375zbMath1373.62259OpenAlexW2086171061MaRDI QIDQ5367429

Yumou Qiu, Song Xi Chen

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/59641/1/MPRA_paper_59641.pdf

zbMATH Keywords

covariance matrix estimationlarge \(p\), small \(n\)tapering estimatorthresholding estimatorbanding estimatorratio-consistency

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (3)

More powerful tests for sparse high-dimensional covariances matrices ⋮ A large covariance matrix estimator under intermediate spikiness regimes ⋮ Bandwidth selection for large covariance and precision matrices

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