Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation

DOI10.1214/15-EJS1019zbMath1331.62276OpenAlexW2276683571MaRDI QIDQ5965317

Lili Wang, Debashis Paul

Publication date: 3 March 2016

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1455715956

zbMATH Keywords

Stieltjes transformprincipal component analysiscovariance matrixspiked covariance model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Hypothesis testing for high-dimensional time series via self-normalization

Cites Work

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• Regularized estimation in sparse high-dimensional time series models
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• On sample eigenvalues in a generalized spiked population model
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• On the Marčenko-Pastur law for linear time series
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Eigenvalues of large sample covariance matrices of spiked population models
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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