Corpus ID: 26513924

Minimax Estimation of Bandable Precision Matrices

@inproceedings{Hu2017MinimaxEO,
  title={Minimax Estimation of Bandable Precision Matrices},
  author={A. Hu and Sahand N. Negahban},
  booktitle={NIPS},
  year={2017}
}
  • A. Hu, Sahand N. Negahban
  • Published in NIPS 2017
  • Mathematics, Computer Science
  • 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, which encodes conditional independence statements between variables. Minimax results under the spectral… CONTINUE READING
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