Recognition: unknown
Estimation of Covariance Matrices under Sparsity Constraints
classification
🧮 math.ST
stat.TH
keywords
sparsitycovarianceestimationmatrixunderconstraintsexplorefrobenius
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We prove optimal sparsity oracle inequalities for the estimation of covariance matrix under the Frobenius norm. In particular we explore various sparsity structures on the underlying matrix.
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