Optimal rates of convergence for estimating Toeplitz covariance matrices
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Publication:1955842
DOI10.1007/s00440-012-0422-7MaRDI QIDQ1955842
Harrison H. Zhou, T. Tony Cai, Zhao Ren
Publication date: 19 June 2013
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00440-012-0422-7
covariance matrix; minimax lower bound; optimal rate of convergence; spectral norm; banding; tapering; Toeplitz covariance matrix
62-XX: Statistics