Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions
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Publication:2348449
DOI10.1016/j.jmva.2015.02.003zbMath1329.62255arXiv1309.0482MaRDI QIDQ2348449
T. Tony Cai, Tengyuan Liang, Harrison H. Zhou
Publication date: 12 June 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.0482
covariance matrixcentral limit theoremdeterminantminimax lower boundasymptotic optimalitydifferential entropysharp minimaxity
62H10: Multivariate distribution of statistics
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
94A17: Measures of information, entropy
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