Operator norm consistent estimation of large-dimensional sparse covariance matrices
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Publication:1000305
DOI10.1214/07-AOS559zbMath1196.62064arXiv0901.3220MaRDI QIDQ1000305
Publication date: 6 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0901.3220
random matrix theory; correlation matrices; sparsity; multivariate statistical analysis; high-dimensional inference; covariance matrices; adjacency matrices; eigenvalues of covariance matrices; \(\beta \)-sparsity