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Optimal Estimation and Rank Detection for Sparse Spiked Covariance Matrices
This paper considers a sparse spiked covariancematrix model in the high-dimensional setting and studies the minimax estimation of the covariance matrix and the principal subspace as well as the minimax rank detection. The optimal rate of convergence for estimating the spiked covariance matrix under...
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| Gepubliceerd in: | Probab Theory Relat Fields |
|---|---|
| Hoofdauteurs: | , , |
| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
2014
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| Onderwerpen: | |
| Online toegang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4527666/ https://ncbi.nlm.nih.gov/pubmed/26257453 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s00440-014-0562-z |
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