Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data

DOI10.1016/j.jmva.2016.05.002zbMath1347.62088arXiv1605.04358OpenAlexW2962988625WikidataQ36173580 ScholiaQ36173580MaRDI QIDQ739584

Anru Zhang, T. Tony Cai

Publication date: 18 August 2016

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

Full work available at URL: https://arxiv.org/abs/1605.04358

zbMATH Keywords

thresholdingmissing dataoptimal rate of convergencesparse covariance matrixadaptive thresholdingbandable covariance matrixgeneralized sample covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Analysis of variance and covariance (ANOVA) (62J10)

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Uses Software

• PheWAS

Cites Work

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