An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions (Q2352445)
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scientific article; zbMATH DE number 6454903
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| English | An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions |
scientific article; zbMATH DE number 6454903 |
Statements
An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions (English)
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1 July 2015
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adaptive thresholding
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large correlation matrix
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large covariance matrix
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simple random sampling
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sparsity
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thresholding
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0.8549860715866089
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0.824992835521698
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0.8161410689353943
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0.8147041201591492
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0.8110064268112183
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