High-dimensional covariance matrix estimation with missing observations
From MaRDI portal
Publication:395991
DOI10.3150/12-BEJ487zbMath1320.62124arXiv1201.2577MaRDI QIDQ395991
Publication date: 8 August 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.2577
covariance matrixmissing observationsoptimal rate of convergenceLassolow-rank matrix estimationnon-commutative Bernstein inequality
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Uses Software
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