Minimax estimation of large covariance matrices under _1-norm

zbMATH Open1266.62036MaRDI QIDQ3145535FDOQ3145535

Authors: Harrison H. Zhou, T. Tony Cai 

Publication date: 21 December 2012

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/j22n4/J22N41/J22N41.html

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zbMATH Keywords

taperingthresholdingminimax lower boundoptimal rate of convergenceoperator norm

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Minimax procedures in statistical decision theory (62C20)

Cited In (61)

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• Random matrix theory in statistics: a review
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• Minimax convergence rates for kernel CCA
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• Lower bound estimation for a family of high-dimensional sparse covariance matrices
• Post-processed posteriors for banded covariances
• Estimation of sparse covariance matrix via non-convex regularization
• Sparse precision matrix estimation under lower polynomial moment assumption

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