Statistical Inference of Semidefinite Programming
نویسنده
چکیده
In this paper we consider covariance structural models with which we associate semidefinite programming problems. We discuss statistical properties of estimates of the respective optimal value and optimal solutions when the ‘true’ covariance matrix is estimated by its sample counterpart. The analysis is based on perturbation theory of semidefinite programming. As an example we discuss asymptotics of the so-called Minimum Trace factor Analysis.
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