Estimation of Covariance Matrices under Sparsity Constraints
Abstract
We prove optimal sparsity oracle inequalities for the estimation of covariance matrix under the Frobenius norm. In particular we explore various sparsity structures on the underlying matrix.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.