Rates of convergence in conditional covariance matrix with nonparametric entries estimation

Jean-Michel Loubes, Clement Marteau, Maikol Solís

Let $X\in {\mathbb{R}}^p$ and $Y\in \mathbb{R}$ be two random variables. We estimate the conditional covariance matrix $\mathrm{Cov}\left(\mathrm{E}\left[\boldsymbol{X}\vert Y\right]…