Minimax estimation of large precision matrices with bandable Cholesky factor

DOI10.1214/19-AOS1893zbMath1458.62114arXiv1712.09483MaRDI QIDQ2215744

Zhao Ren, Yu Liu

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.09483

zbMATH Keywords

Frobenius normminimax lower boundthresholdingadaptive estimationoperator normoptimal rate of convergenceprecision matrixCholesky factorlocal cropping

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Related Items

A generative approach to modeling data with quantitative and qualitative responses, Scalable Bayesian high-dimensional local dependence learning, User-friendly covariance estimation for heavy-tailed distributions

Uses Software

• ROCKET

Cites Work

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