Minimax Estimation of Large Covariance Matrices 1369
نویسندگان
چکیده
منابع مشابه
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...
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The inverse covariance matrix provides considerable insight for understanding statistical models in the multivariate setting. In particular, when the distribution over variables is assumed to be multivariate normal, the sparsity pattern in the inverse covariance matrix, commonly referred to as the precision matrix, corresponds to the adjacency matrix representation of the Gauss-Markov graph, wh...
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