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...

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Bibliographic Details
Main Authors: Fan, Jianqing, Rigollet, Philippe, Wang, Weichen
Other Authors: Massachusetts Institute of Technology. Department of Mathematics
Format: Article
Published: Institute of Mathematical Statistics 2018
Online Access:http://hdl.handle.net/1721.1/115336
https://orcid.org/0000-0002-0135-7162