MINIMAX ESTIMATION OF LARGE COVARIANCE MATRICES UNDER l(1)-NORM COMMENT
Author(s): Rigollet, Philippe; Tsybakov, Alexandre B.
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http://arks.princeton.edu/ark:/88435/pr1q78x| Abstract: | Estimation of covariance matrices in various norms is an issue that finds applications in a wide range of statistical problems and especially in principal component analysis. |
| Publication Date: | Oct-2012 |
| Citation: | Rigollet, Philippe, Tsybakov, Alexandre B. (2012). MINIMAX ESTIMATION OF LARGE COVARIANCE MATRICES UNDER l(1)-NORM COMMENT. STATISTICA SINICA, 22 (4), 1358 - 1367 |
| ISSN: | 1017-0405 |
| EISSN: | 1996-8507 |
| Pages: | 1358 - 1367 |
| Type of Material: | Journal Article |
| Journal/Proceeding Title: | STATISTICA SINICA |
| Version: | Author's manuscript |
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