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 2007Show all

9 papers · 1 filter

math.PR2007

Asymptotic distributions and chaos for the supermarket model

Malwina J. Luczak, Colin McDiarmid

In the supermarket model there are n queues, each with a unit rate server. Customers arrive in a Poisson process at rate λn, where 0<λ<1. Each customer chooses d > 2 queues uniform…

math.PR2007★ 1 cited

Glauber dynamics for the mean-field Ising model: cut-off, critical power law, and metastability

David A. Levin, Malwina J. Luczak, Yuval Peres

We study the Glauber dynamics for the Ising model on the complete graph, also known as the Curie-Weiss Model. For beta < 1, we prove that the dynamics exhibits a cut-off: the dista…

math.PR2007

A Singular Control Model with Application to the Goodwill Problem

Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos

We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…

q-fin.ST2007★ 1 cited

Likelihood-based inference for correlated diffusions

Konstantinos Kalogeropoulos, Petros Dellaportas, Gareth O. Roberts

We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting probl…

math.ST2007★ 421 cited

Sparsistency and rates of convergence in large covariance matrix estimation

Clifford Lam, Jianqing Fan

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions.…

math.AT2007★ 5 cited

A parametrized version of the Borsuk Ulam theorem

Thomas Schick, Robert Simon, Stanislav Spiez +1

The main result of this note is a parametrized version of the Borsuk-Ulam theorem. We show that for a continuous family of Borsuk-Ulam situations, parameterized by points of a comp…

math.ST2007★ 65 cited

Exploring spatial nonlinearity using additive approximation

Zudi Lu, Arvid Lundervold, Dag Tjøstheim +1

We propose to approximate the conditional expectation of a spatial random variable given its nearest-neighbour observations by an additive function. The setting is meaningful in pr…

math.PR2007★ 123 cited

Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures

Pauline Barrieu, Nicole El Karoui

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes howev…

math.CA2007★ 5 cited

Estimates in corona theorems for some subalgebras of

Amol Sasane, Sergei Treil

We obtain estimates in the corona theorem for the algebra of analytic functions in the unit disc whose nth derivative is bounded, and its subalgebras defined by the boundary contin…