Concentration and consistency of sample covariance matrix functionals in sub-Gaussian models

DOI10.1214/25-EJS2447MaRDI QIDQ6913333zbMATH OpenFDO

Authors Anna Skripka

Publication date 21 October 2025

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-19/issue-2/Concentration-and-consistency-of-sample-covariance-matrix-functionals-in-sub/10.1214/25-EJS2447.full

zbMATH Keywords

concentration inequalitiesconsistencycovariance matrix functionaleffective ranklinear spectral statisticspectral measuresub-Gaussian distribution

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Estimation in multivariate analysis (62H12)

Cites work

• Asymptotically efficient estimation of smooth functionals of covariance operators
• Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
• Concentration and convergence rates for spectral measures of random matrices
• Concentration inequalities and moment bounds for sample covariance operators
• Concentration inequalities for non-Lipschitz functions with bounded derivatives of higher order
• Concentration of the spectral measure for large matrices
• Concentration of the spectral measure for large random matrices with stable entries
• Covariance Matrix Estimation With Non Uniform and Data Dependent Missing Observations
• ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
• Efficient estimation of linear functionals of principal components
• Estimation of smooth functionals in normal models: bias reduction and asymptotic efficiency
• Estimation of smooth functionals of covariance operators: jackknife bias reduction and bounds in terms of effective rank
• High-dimensional covariance matrix estimation with missing observations
• Moment bounds for large autocovariance matrices under dependence
• MSE bounds for estimators of matrix functions
• Multilinear operator integrals. Theory and applications
• Non-asymptotic rate for high-dimensional covariance estimation with non-independent missing observations
• Nonasymptotic upper bounds for the reconstruction error of PCA
• Normal approximation and concentration of spectral projectors of sample covariance
• On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
• Operator-Lipschitz functions in Schatten-von Neumann classes
• Real Analysis and Probability
• Spectral analysis of large dimensional random matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory

This page was built for publication: Concentration and consistency of sample covariance matrix functionals in sub-Gaussian models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6913333)