Sparsistency and rates of convergence in large covariance matrix estimation

Annals of Statistics

Volumn 37, Issue 6 B, 2009, Pages 4254-4278

  Lam, Clifford ^a   Fan, Jianqing ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b Princeton University   (United States)

Author keywords

Asymptotic normality; Consistency; Covariance matrix; High dimensionality; Nonconcave penalized likelihood; Sparsistency

Indexed keywords

EID: 73949122606     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/09-AOS720     Document Type: Article

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