Operator norm consistent estimation of large-dimensional sparse covariance matrices

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Publication:1000305

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DOI10.1214/07-AOS559zbMath1196.62064arXiv0901.3220OpenAlexW3103699839MaRDI QIDQ1000305

Noureddine El Karoui

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

zbMATH Keywords

random matrix theory correlation matrices sparsity multivariate statistical analysis high-dimensional inference covariance matrices adjacency matrices eigenvalues of covariance matrices \(\beta \)-sparsity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Eigenvalues, singular values, and eigenvectors (15A18)

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