SPARSISTENCY AND RATES OF CONVERGENCE IN LARGE COVARIANCE MATRIX ESTIMATION
- Author
- LAM, Clifford; JIANQING FAN
[1] London School of Economics and Political Science, United Kingdom
[2] Princeton University, United States - Source
Annals of statistics. 2009, Vol 37, Num 6B, pp 4254-4278, 25 p ; ref : 1 p
- CODEN
- ASTSC7
- ISSN
- 0090-5364
- Scientific domain
- Mathematics
- Publisher
- Institute of Mathematical Statistics, Cleveland, OH
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Accélération convergence Algèbre linéaire numérique Analyse corrélation Analyse multivariable Analyse numérique Approximation optimale Association statistique Corrélation Covariance Décomposition Estimation paramètre Estimation statistique Fonction pénalité Fonction vraisemblance Loi probabilité Matrice corrélation Matrice covariance Matrice creuse Matrice inverse Méthode Cholesky Méthode décomposition Méthode pénalité Méthode statistique Probabilité Sondage statistique Taille échantillon Taux convergence Théorie échantillonnage 49M30 60F20 62D05 62H20 65B99 65F50 Convergence optimale
- Keyword (en)
- Convergence acceleration Numerical linear algebra Correlation analysis Multivariate analysis Numerical analysis Optimal approximation Statistical association Correlation Covariance Decomposition Parameter estimation Statistical estimation Penalty function Likelihood function Probability distribution Correlation matrix Covariance matrix Sparse matrix Inverse matrix Cholesky method Decomposition method Penalty method Statistical method Probability Sample survey Sample size Convergence rate Sampling theory Optimal convergence
- Keyword (es)
- Aceleración convergencia Algebra lineal numérica Análisis correlación Análisis multivariable Análisis numérico Aproximación óptima Asociación estadística Correlación Covariancia Descomposición Estimación parámetro Estimación estadística Función penalidad Función verosimilitud Ley probabilidad Matriz correlación Matriz covariancia Matriz dispersa Matriz inversa Método Cholesky Método descomposición Método penalidad Método estadístico Probabilidad Ecuesta estadística Tamaño muestra Relación convergencia Teoría muestreo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E18 Calculus of variations and optimal control
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01G Limit theorems
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01B Acceleration of convergence
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 22139477
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1214/09-AOS720 
https://dx.doi.org/10.1214/09-AOS720
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