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...
| Hauptverfasser: | , , |
|---|---|
| Weitere Verfasser: | |
| Format: | Artikel |
| Veröffentlicht: |
Institute of Mathematical Statistics
2018
|
| Online Zugang: | http://hdl.handle.net/1721.1/115336 https://orcid.org/0000-0002-0135-7162 |