Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation (Q5965313)

scientific article; zbMATH DE number 6549010

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English	Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation	scientific article; zbMATH DE number 6549010

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scholarly article

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title

Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation (English)

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Electronic Journal of Statistics

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publication date

3 March 2016

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full work available at URL

https://projecteuclid.org/euclid.ejs/1455715952

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zbMATH Keywords

adaptive estimation

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banding

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block thresholding

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covariance matrix

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factor model

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Frobenius norm

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Gaussian graphical model

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hypothesis testing

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minimax lower bound

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operator norm

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optimal rate of convergence

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precision matrix

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Schatten norm

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spectral norm

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tapering

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thresholding

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describes a project that uses

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MaRDI publication profile

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Identifiers

zbMATH Open document ID

1331.62272

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DOI

10.1214/15-EJS1081

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5965313