Estimation of Covariance Matrices under Sparsity Constraints

2012/05/06 by Philippe Rigollet, Rigollet, Philippe, Alexandre Tsybakov +1
Mathematics · #FOS: Mathematics #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1205.1210

This paper is part of a discussion of the paper "Minimax Estimation of Large Covariance Matrices under L1-Norm" by Tony Cai and Harrison Zhou, to appear in Statistica Sinica

arxiv created 2012/05/06 · arxiv updated 2012/05/08

Abstract

We prove optimal sparsity oracle inequalities for the estimation of covariance matrix under the Frobenius norm. In particular we explore various sparsity structures on the underlying matrix.

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