Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation

DOI10.1214/13-AOS1171zbMath1341.62115arXiv1212.2882MaRDI QIDQ282440

Wei-Dong Liu, Harrison H. Zhou, T. Tony Cai

Publication date: 12 May 2016

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

Full work available at URL: https://arxiv.org/abs/1212.2882

zbMATH Keywords

covariance matrixminimax lower boundoptimal rate of convergencesparsityspectral normgraphical modelprecision matrixconstrained \(\ell_{1}\)-minimization

Mathematics Subject Classification ID

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

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Uses Software

• glasso

Cites Work

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