Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
From MaRDI portal
Publication:2140845
DOI10.1016/j.jmva.2021.104883zbMath1493.62333arXiv2102.06817OpenAlexW3213273017WikidataQ114157891 ScholiaQ114157891MaRDI QIDQ2140845
Nayel Bettache, Cristina Butucea, Marianne Sorba
Publication date: 23 May 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.06817
Asymptotic properties of parametric estimators (62F12) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- An introduction to recent advances in high/infinite dimensional statistics
- Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
- Sharp minimax tests for large covariance matrices and adaptation
- Sharp deviation bounds for quadratic forms
- Detection of correlations
- On the range of validity of the autoregressive sieve bootstrap
- A tail inequality for quadratic forms of subgaussian random vectors
- Hanson-Wright inequality and sub-Gaussian concentration
- The role of statistics in the era of big data: a computational scientist' perspective
- Recent advances in functional data analysis and high-dimensional statistics
- Adaptive detection of a signal of growing dimension. I
- Adaptive detection of a signal of growing dimension. II
- Higher criticism for detecting sparse heterogeneous mixtures.
- Detecting positive correlations in a multivariate sample
- Optimal hypothesis testing for high dimensional covariance matrices
- Detection of a sparse submatrix of a high-dimensional noisy matrix
- Confidence estimation of the covariance function of stationary and locally stationary processes
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- High-Dimensional Statistics
- Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings