Minimax optimal estimation of general bandable covariance matrices
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DOI: 10.1016/j.jmva.2012.11.003
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References listed on IDEAS
- Adam J. Rothman & Elizaveta Levina & Ji Zhu, 2010. "A new approach to Cholesky-based covariance regularization in high dimensions," Biometrika, Biometrika Trust, vol. 97(3), pages 539-550.
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Cited by:
- Yumou Qiu & Song Xi Chen, 2015.
"Bandwidth Selection for High-Dimensional Covariance Matrix Estimation,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1160-1174, September.
- Qiu, Yumou & Chen, Song Xi, 2014. "Band Width Selection for High Dimensional Covariance Matrix Estimation," MPRA Paper 59641, University Library of Munich, Germany.
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Keywords
Adaptive minimax; Covariance matrix; Minimax optimal rates; Frobenius norm; Spectral norm; Tapering;All these keywords.
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