ASYMPTOTIC EFFICIENCY IN HIGH-DIMENSIONAL COVARIANCE ESTIMATION

DOI10.1142/9789813272880_0165zbMath1451.62057OpenAlexW2973088861MaRDI QIDQ5122140

Vladimir I. Koltchinskii

Publication date: 22 September 2020

Published in: Proceedings of the International Congress of Mathematicians (ICM 2018) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789813272880_0165

zbMATH Keywords

bootstrapasymptotic efficiencynormal approximationconcentration inequalitiessample covarianceeffective rank

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10) Random matrices (probabilistic aspects) (60B20) Minimax procedures in statistical decision theory (62C20) Lists of open problems (00A27)

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Estimation of smooth functionals of location parameter in Gaussian and Poincaré random shift models. ⋮ Estimation of smooth functionals in normal models: bias reduction and asymptotic efficiency

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