101 citations · 230 across the 12 of their papers we have counts for
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math.ST2014★ 2 cited
Convex Banding of the Covariance Matrix
Jacob Bien, Florentina Bunea, Luo Xiao
We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a con…
math.ST2014★ 8 cited
On the theoretic and practical merits of the banding estimator for large covariance matrices
Luo Xiao, Florentina Bunea
This paper considers the banding estimator proposed in Bickel and Levina (2008) for estimation of large covariance matrices. We prove that the banding estimator achieves rate-optim…