Optimal rates of convergence for sparse covariance matrix estimation

Annals of Statistics

Volumn 40, Issue 5, 2012, Pages 2389-2420

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

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Assouad's lemma; Bregman divergence; Covariance matrix estimation; Frobenius norm; Le Cam's method; Minimax lower bound; Optimal rate of convergence; Spectral norm; Thresholding

Indexed keywords

EID: 84861177057     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AOS998     Document Type: Article

References (25)

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