Optimal estimation and rank detection for sparse spiked covariance matrices

DOI10.1007/s00440-014-0562-zzbMath1314.62130arXiv1305.3235OpenAlexW2051623559WikidataQ42196366 ScholiaQ42196366MaRDI QIDQ2343031

Zongming Ma, T. Tony Cai, Yihong Wu

Publication date: 4 May 2015

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.3235

zbMATH Keywords

covariance matrixminimax rate of convergencegroup sparsityprincipal subspacesparse principal component analysislow-rank matrixrank detection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Nonparametric statistical resampling methods (62G09)

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Uses Software

• glasso

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