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Submitted to the Annals of Applied Probability HIGH DIMENSIONAL SPARSE COVARIANCE ESTIMATION: ACCURATE THRESHOLDS FOR THE MAXIMAL DIAGONAL ENTRY AND FOR THE LARGEST CORRELATION COEFFICIENT By Aharon Birnbaum∗ and Boaz
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Document Date: 2012-03-09 01:43:19
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File Size: 440,70 KB
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Company
Pearson /
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Currency
pence /
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Facility
Weizmann Institute of Science /
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IndustryTerm
typical applications /
contemporary applications /
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Organization
Hebrew University /
Weizmann Institute of Science /
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Person
Boaz Nadler /
Lin /
Shao /
/
Technology
microwave /
simulation /
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SocialTag
Multivariate normal distribution
Gumbel distribution
Chi-squared distribution
Covariance matrix
Pearson product-moment correlation coefficient
Covariance
Correlation and dependence
Partial correlation
Maximum likelihood
Statistics
Submitted to the Annals of Applied Probability HIGH DIMENSIONAL SPARSE COVARIANCE ESTIMATION: ACCURATE THRESHOLDS FOR THE MAXIMAL DIAGONAL ENTRY AND FOR THE LARGEST CORRELATION COEFFICIENT By Aharon Birnbaum∗ and Boaz