Estimation of functionals of sparse covariance matrices

High-dimensional statistical tests often ignore correlations to gain simplicity and stability leading to null distributions that depend on functionals of correlation matrices such as their Frobenius norm and other Lr norms. Motivated by the computation of critical values of such tests, we investigat...

Ausführliche Beschreibung

Bibliographische Detailangaben
Hauptverfasser: Fan, Jianqing, Rigollet, Philippe, Wang, Weichen
Weitere Verfasser: Massachusetts Institute of Technology. Department of Mathematics
Format: Artikel
Veröffentlicht: Institute of Mathematical Statistics 2018
Online Zugang:http://hdl.handle.net/1721.1/115336
https://orcid.org/0000-0002-0135-7162