output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2014 · math.STShow all

4 papers · 2 filters

math.ST2014

An extended Generalised Variance, with Applications

Luc Pronzato, Henry Wynn, Anatoly Zhigljavsky

We consider a measure k of dispersion which extends the notion of Wilk's generalised variance, or entropy, for a d-dimensional distribution, and is based on the mean squared vo…

math.ST2014★ 7 cited

On Convex Least Squares Estimation when the Truth is Linear

Yining Chen, Jon A. Wellner

We prove that the convex least squares estimator (LSE) attains a pointwise rate of convergence in any region where the truth is linear. In addition, the asymptotic distr…

math.ST2014★ 4 cited

Quantile Spectral Analysis for Locally Stationary Time Series

Stefan Birr, Stanislav Volgushev, Tobias Kley +2

Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity.…

math.ST2014★ 10 cited

Empirical geodesic graphs and CAT(k) metrics for data analysis

Kei Kobayashi, Henry P. Wynn

A methodology is developed for data analysis based on empirically constructed geodesic metric spaces. For a probability distribution, the length along a path between two points can…