Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

DOI10.1016/j.jmva.2015.02.003zbMath1329.62255arXiv1309.0482OpenAlexW2020120128MaRDI QIDQ2348449

T. Tony Cai, Tengyuan Liang, Harrison H. Zhou

Publication date: 12 June 2015

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

Full work available at URL: https://arxiv.org/abs/1309.0482

zbMATH Keywords

covariance matrixcentral limit theoremdeterminantminimax lower boundasymptotic optimalitydifferential entropysharp minimaxity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Measures of information, entropy (94A17)

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