De-Biased Sparse PCA: Inference for Eigenstructure of Large Covariance Matrices

DOI10.1109/TIT.2021.3059765MaRDI QIDQ5001646zbMATH OpenOpenAlexFDO

Authors Jana Janková, Sara Van De Geer

Publication date 22 July 2021

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2021.3059765

zbMATH Keywords

Gaussian limiting distributionM-estimator with Lasso penalty

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited in

(7)

• SOFARI: High-Dimensional Manifold-Based Inference
• An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series
• The asymptotic distribution of the MLE in high-dimensional logistic models: arbitrary covariance
• Inference for low-rank models
• Statistical Inference for High-Dimensional Generalized Linear Models With Binary Outcomes
• Covariance structure estimation with Laplace approximation
• Scale calibration for high-dimensional robust regression

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