Optimal rates of convergence for sparse covariance matrix estimation

DOI10.1214/12-AOS998zbMath1373.62247arXiv1302.3030MaRDI QIDQ741791

Harrison H. Zhou

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3030

zbMATH Keywords

Frobenius normminimax lower boundthresholdingoptimal rate of convergenceBregman divergencespectral normcovariance matrix estimationAssouad's lemmaLe Cam's method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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