Minimax estimation of large precision matrices with bandable Cholesky factor (Q2215744)
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| English | Minimax estimation of large precision matrices with bandable Cholesky factor |
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Minimax estimation of large precision matrices with bandable Cholesky factor (English)
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14 December 2020
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Multivariate statistical analysis is an important data analysis technique that enjoys many applications and employs the covariance matrix estimation or its inverse, the precision matrix. The main contribution of this paper is the consistent estimator of the large precision matrix with bandable Cholesky factor in the case of high-dimensional datasets when the dimension can be much larger than the sample size. Results are compared with the banding estimator of \textit{P. J. Bickel} and \textit{E. Levina} [Ann. Stat. 36, No. 6, 2577--2604 (2008; Zbl 1196.62062)].
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precision matrix
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optimal rate of convergence
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local cropping
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Cholesky factor
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minimax lower bound
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thresholding
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operator norm
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Frobenius norm
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adaptive estimation
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