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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 ℓ(r) norms. Motivated by the computation of critical values of such tests, we investig...

詳細記述

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書誌詳細
出版年:Ann Stat
主要な著者: Fan, Jianqing, Rigollet, Philippe, Wang, Weichen
フォーマット: Artigo
言語:Inglês
出版事項: 2015
主題:
オンライン・アクセス:https://ncbi.nlm.nih.gov/pmc/articles/PMC4719663/
https://ncbi.nlm.nih.gov/pubmed/26806986
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/15-AOS1357
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