Tuning-parameter selection in regularized estimations of large covariance matrices
نویسندگان
چکیده
منابع مشابه
Regularized estimation of large covariance matrices
This paper considers estimating a covariance matrix of p variables from n observations by either banding or tapering the sample covariance matrix, or estimating a banded version of the inverse of the covariance. We show that these estimates are consistent in the operator norm as long as (logp)/n→ 0, and obtain explicit rates. The results are uniform over some fairly natural well-conditioned fam...
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We consider the spectral properties of a class of regularized estimators of (large) empirical covariance matrices corresponding to stationary (but not necessarily Gaussian) sequences, obtained by banding. We prove a law of large numbers (similar to that proved in the Gaussian case by Bickel and Levina), which implies that the spectrum of a banded empirical covariance matrix is an efficient esti...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2015
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949655.2015.1017823