Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

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

zbMATH Keywords

covariance matrixcentral limit theoremdeterminantminimax lower boundasymptotic optimalitydifferential entropysharp minimaxity

Mathematics Subject Classification ID

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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