Bandwidth selection for high-dimensional covariance matrix estimation (Q5367429)
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scientific article; zbMATH DE number 6790916
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| default for all languages | No label defined |
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| English | Bandwidth selection for high-dimensional covariance matrix estimation |
scientific article; zbMATH DE number 6790916 |
Statements
Bandwidth Selection for High-Dimensional Covariance Matrix Estimation (English)
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13 October 2017
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covariance matrix estimation
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banding estimator
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large \(p\), small \(n\)
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ratio-consistency
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tapering estimator
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thresholding estimator
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0.8440176248550415
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0.8339316248893738
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0.8108927607536316
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0.7877652049064636
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0.7828068733215332
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