Covariance Selection by Thresholding the Sample Correlation Matrix
نویسندگان
چکیده
This article shows that when the nonzero coefficients of the population correlation matrix are all greater in absolute value than (C1 log p/n) 1/2 for some constant C1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate (log p/n) is shown to be optimal.
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تاریخ انتشار 2014