Operator norm consistent estimation of large-dimensional sparse covariance matrices

Annals of Statistics

Volumn 36, Issue 6, 2008, Pages 2717-2756

  El Karoui, Noureddine ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

sparsity; Adjacency matrices; Correlation matrices; Covariance matrices; Eigenvalues of covariance matrices; High dimensional inference; Multivariate statistical analysis; Random matrix theory; Sparsity

Indexed keywords

EID: 62349123505     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/07-AOS559     Document Type: Article

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