Optimal estimation of sparse correlation matrices of semiparametric Gaussian copulas

DOI10.4310/SII.2014.V7.N2.A5MaRDI QIDQ1748867zbMATH OpenFDO

Authors Lingzhou Xue, Hui Zou

Publication date 14 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

minimax optimalityrank correlationthresholdingweak \(\ell_q\) ball

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12)

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Cited in

(9)

• Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Rank-based tapering estimation of bandable correlation matrices
• Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
• Estimation of functionals of sparse covariance matrices
• Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
• Robust covariance and scatter matrix estimation under Huber's contamination model
• Rejoinder of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation

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