Optimal rates of convergence for covariance matrix estimation

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Publication:988000

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DOI10.1214/09-AOS752zbMath1202.62073arXiv1010.3866MaRDI QIDQ988000

Harrison H. Zhou, T. Tony Cai, Cun-Hui Zhang

Publication date: 24 August 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3866

zbMATH Keywords

covariance matrix Frobenius norm minimax lower bound operator norm optimal rate of convergence tapering

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Nonparametric statistical resampling methods (62G09)

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