Honest confidence regions and optimality in high-dimensional precision matrix estimation

DOI10.1007/s11749-016-0503-5zbMath1368.62204arXiv1507.02061OpenAlexW2964074174WikidataQ109044086 ScholiaQ109044086MaRDI QIDQ152848

Sara Van De Geer, Jana Janková, Sara van de Geer, Jana Janková

Publication date: 14 September 2016

Published in: TEST, Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.02061

zbMATH Keywords

asymptotic normalityinferenceconfidence regionssparsityprecision matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Uses Software

• glasso

Cites Work

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