Adaptive regularization of high-dimensional Toeplitz covariance matrix

DOI10.1016/J.SPL.2026.110784MaRDI QIDQ7302897zbMATH OpenFDO

Authors Deliang Dai, Yuli Liang, Stanislas Muhinyuza, Jianxin Pan

Publication date 23 July 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110784

Mathematics Subject Classification ID

Statistics (62-XX) Numerical analysis (65-XX)

Cites work

• A novel approach for estimating multi-attribute Gaussian copula graphical models
• Banding sample autocovariance matrices of stationary processes
• Covariance matrix selection and estimation via penalised normal likelihood
• Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
• Limiting spectral distribution of Toeplitz and Hankel matrices with dependent entries
• Linear Toeplitz covariance structure models with optimal estimators of variance components
• Optimal rates of convergence for estimating Toeplitz covariance matrices
• Tuning-parameter selection in regularized estimations of large covariance matrices
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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