Minimax covariance estimation using commutator subgroup of lower triangular matrices

Minimax Estimation of Large Covariance Matrices 1369

groups with minimax commutator subgroup

a result of dixon‎, ‎evans and smith shows that if $g$ is a locally (soluble-by-finite) group whose proper subgroups are (finite rank)-by-abelian‎, ‎then $g$ itself has this property‎, ‎i.e‎. ‎the commutator subgroup of $g$ has finite rank‎. ‎it is proved here that if $g$ is a locally (soluble-by-finite) group whose proper subgroups have minimax commutator subgroup‎, ‎then also the commutator s...

Minimax optimal estimation of general bandable covariance matrices

Cai et al. (2010) [4] have studied the minimax optimal estimation of a collection of large bandable covariance matrices whose off-diagonal entries decay to zero at a polynomial rate. They have shown that the minimax optimal procedures are fundamentally different under Frobenius and spectral norms, regardless of the rate of polynomial decay. To gain more insight into this interesting problem, we...

Minimax Estimation of Large Covariance Matrices under l1-Norm

Driven by a wide range of applications in high-dimensional data analysis, there has been significant recent interest in the estimation of large covariance matrices. In this paper, we consider optimal estimation of a covariance matrix as well as its inverse over several commonly used parameter spaces under the matrix l1 norm. Both minimax lower and upper bounds are derived. The lower bounds are ...

Improvement on the Best Invariant Estimators of the Normal Covariance and Precision Matrices via a Lower Triangular Subgroup

This paper addresses the problems of estimating the normal covariance and precision matrices. A commutator subgroup of lower triangular matrices is considered for deriving a class of invariant estimators. The class shows inadmissibility of the best invariant and minimax estimator of the covariance matrix relative to quadratic loss. Also, in estimation of the precision matrix, a dominance result...