稀疏性约束下的协方差矩阵估计
统计理论
2012-05-08 v1 统计理论
摘要
我们证明了在 Frobenius 范数下协方差矩阵估计的最优稀疏 oracle 不等式。特别地，我们探讨了底层矩阵上的各种稀疏结构。
引用
@article{arxiv.1205.1210,
title = {Estimation of Covariance Matrices under Sparsity Constraints},
author = {Philippe Rigollet and Alexandre Tsybakov},
journal= {arXiv preprint arXiv:1205.1210},
year = {2012}
}
备注
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