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math.ST2014★ 3 cited
The Benefit of Group Sparsity in Group Inference with De-biased Scaled Group Lasso
Ritwik Mitra, Cun-Hui Zhang
We study confidence regions and approximate chi-squared tests for variable groups in high-dimensional linear regression. When the size of the group is small, low-dimensional projec…
math.ST2014★ 22 cited
Multivariate Analysis of Nonparametric Estimates of Large Correlation Matrices
Ritwik Mitra, Cun-Hui Zhang
We study concentration in spectral norm of nonparametric estimates of correlation matrices. We work within the confine of a Gaussian copula model. Two nonparametric estimators of t…