13 citations · 48 across the 24 of their papers we have counts for
Showing 2010 · math.STShow all
2 papers · 2 filters
math.ST2010
Adaptive estimation of covariance matrices via Cholesky decomposition
Nicolas Verzelen
This paper studies the estimation of a large covariance matrix. We introduce a novel procedure called ChoSelect based on the Cholesky factor of the inverse covariance. This method…
math.ST2010
Detection boundary in sparse regression
Yuri I. Ingster, Alexandre B. Tsybakov, Nicolas Verzelen
We study the problem of detection of a p-dimensional sparse vector of parameters in the linear regression model with Gaussian noise. We establish the detection boundary, i.e., the…