Lower bound estimation for a family of high-dimensional sparse covariance matrices
DOI10.1142/S0219691323500455MaRDI QIDQ6201203FDOQ6201203
Authors: Huimin Li, Youming Liu 
Publication date: 20 February 2024
Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)
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Kullback-Leibler divergenceaffinityminimax risksparse covariance matrixlower bound estimationmixture probability measure
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Cites Work
- Elements of Information Theory
- Introduction to nonparametric estimation
- Rate-optimal perturbation bounds for singular subspaces with applications to high-dimensional statistics
- Optimal rates of convergence for sparse covariance matrix estimation
- Exact second-order cone programming relaxations for some nonconvex minimax quadratic optimization problems
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- A minimax method for finding saddle points of upper semi-differentiable locally Lipschitz continuous functional in Banach space and its convergence
- Robust estimation of high-dimensional covariance and precision matrices
- Minimax optimal procedures for testing the structure of multidimensional functions
- Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory
- Tight lower bound of sparse covariance matrix estimation in the local differential privacy model
- Portfolio optimization under a minimax rule revisited
- Maximum Kullback-Leibler distance of some conventional distributions
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