109 citations · 242 across the 4 of their papers we have counts for
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math.ST2012★ 6 cited
Estimation of Covariance Matrices under Sparsity Constraints
Philippe Rigollet, Alexandre Tsybakov
We prove optimal sparsity oracle inequalities for the estimation of covariance matrix under the Frobenius norm. In particular we explore various sparsity structures on the underlyi…
math.ST2012★ 51 cited
Deviation optimal learning using greedy Q-aggregation
Dong Dai, Philippe Rigollet, Tong Zhang
Given a finite family of functions, the goal of model selection aggregation is to construct a procedure that mimics the function from this family that is the closest to an unknown…