Adaptive covariance matrix estimation through block thresholding

Annals of Statistics

Volumn 40, Issue 4, 2012, Pages 2014-2042

  Tony Cai, T ^a   Yuan, Ming ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b Georgia Institute of Technology   (United States)

Author keywords

Adaptive estimation; Block thresholding; Covariance matrix; Frobenius norm; Minimax estimation; Optimal rate of convergence; Spectral norm

Indexed keywords

EID: 84871942706     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AOS999     Document Type: Article

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