Minimax estimation of large covariance matrices under l 1-norm

Statistica Sinica

Volumn 22, Issue 4, 2012, Pages 1319-1349

  Cai, T Tony ^a   Zhou, Harrison H ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Covariance matrix; L 1 norm; Minimax lower bound; Operator norm; Optimal rate of convergence; Tapering; Thresholding

Indexed keywords

EID: 84861177056     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: 10.5705/ss.2010.253     Document Type: Review

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