Sparsistency and rates of convergence in large covariance matrix estimation
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Publication:1043730
DOI10.1214/09-AOS720zbMath1191.62101arXiv0711.3933OpenAlexW3098880893WikidataQ41322631 ScholiaQ41322631MaRDI QIDQ1043730
Publication date: 9 December 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.3933
consistencyasymptotic normalitycovariance matrixhigh-dimensionalitynonconcave penalized likelihoodsparsistency
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