most citedOptimal rates of convergence for sparse covariance matrix estimation

148 citations · 152 across the 3 of their papers we have counts for

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math.ST2013★ 148 cited

Optimal rates of convergence for sparse covariance matrix estimation

T. Tony Cai, Harrison H. Zhou

This paper considers estimation of sparse covariance matrices and establishes the optimal rate of convergence under a range of matrix operator norm and Bregman divergence losses. A…

math.ST2012★ 4 cited

Estimating Sparse Precision Matrix: Optimal Rates of Convergence and Adaptive Estimation

T. Tony Cai, Weidong Liu, Harrison H. Zhou

Precision matrix is of significant importance in a wide range of applications in multivariate analysis. This paper considers adaptive minimax estimation of sparse precision matrice…