The masked sample covariance estimator: an analysis using matrix concentration inequalities
DOI10.1093/IMAIAI/IAS001OpenAlexW2144164089MaRDI QIDQ2869798FDOQ2869798
Authors: Richard Y. Chen, Alex Gittens, Joel A. Tropp 
Publication date: 6 January 2014
Published in: Information and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.1637
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covariance estimationrandom matrixSchur productmatrix concentration inequalitymatrix Khintchine inequalitymatrix rosenthal inequality
Large deviations (60F10) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)
Cited In (17)
- Robust modifications of U-statistics and applications to covariance estimation problems
- New challenges in covariance estimation: multiple structures and coarse quantization
- Covariance estimation under one-bit quantization
- Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
- Convex Recovery of a Structured Signal from Independent Random Linear Measurements
- Monte Carlo Methods for Estimating the Diagonal of a Real Symmetric Matrix
- Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
- Perturbations and projections of Kalman-Bucy semigroups
- Estimation from nonlinear observations via convex programming with application to bilinear regression
- Second-order matrix concentration inequalities
- Matrix concentration inequalities via the method of exchangeable pairs
- Moment inequalities for matrix-valued U-statistics of order 2
- The Masked Sample Covariance Estimator: An Analysis via Matrix Concentration Inequalities
- Approximation of the average of some random matrices
- Laguerre deconvolution with unknown matrix operator
- Stochastic variance-reduced cubic regularization methods
- The expected norm of a sum of independent random matrices: an elementary approach
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