Partial estimation of covariance matrices

DOI10.1007/S00440-011-0349-4zbMath1318.62179arXiv1008.1716OpenAlexW2044825056MaRDI QIDQ714954

Elizaveta Levina, R. V. Vershinin

Publication date: 12 October 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.1716

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)

Related Items (12)

Recent developments in high dimensional covariance estimation and its related issues, a review ⋮ Perturbations and projections of Kalman-Bucy semigroups ⋮ Two kinds of variance/covariance estimates in linear mixed models ⋮ Large covariance estimation through elliptical factor models ⋮ Estimation of functionals of sparse covariance matrices ⋮ How close is the sample covariance matrix to the actual covariance matrix? ⋮ Robust modifications of U-statistics and applications to covariance estimation problems ⋮ From low- to high-dimensional moments without magic ⋮ Weak convergence of the empirical spectral distribution of high-dimensional band sample covariance matrices ⋮ New challenges in covariance estimation: multiple structures and coarse quantization ⋮ An efficiency upper bound for inverse covariance estimation ⋮ Covariance estimation under one-bit quantization

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