Estimation of Covariance Matrices under Sparsity Constraints

Abstract

Discussion of “Minimax Estimation of Large Covariance Matrices under L1-Norm” by Tony Cai and Harrison Zhou. To appear in Statistica Sinica. Introduction. Estimation of covariance matrices in various norms is a critical issue that finds applications in a wide range of statistical problems, and especially in principal component analysis. It is well known… (More)

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