Estimation of Covariance Matrices under Sparsity Constraints
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Publication:6232812
arXiv1205.1210MaRDI QIDQ6232812FDOQ6232812
Authors: Philippe Rigollet, Alexandre B. Tsybakov 
Publication date: 6 May 2012
Abstract: We prove optimal sparsity oracle inequalities for the estimation of covariance matrix under the Frobenius norm. In particular we explore various sparsity structures on the underlying matrix.
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