Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
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DOI: 10.1080/01621459.2012.758041
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- Cai, Tony & Liu, Weidong, 2011. "Adaptive Thresholding for Sparse Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 672-684.
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