Covariance selection by thresholding the sample correlation matrix

Research output: Journal article publicationJournal articleAcademic researchpeer-review

6 Citations (Scopus)

Abstract

This article shows that when the nonzero coefficients of the population correlation matrix are all greater in absolute value than (C1logp/n)1/2 for some constantC1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate( log p / n) 1 / 2is shown to be optimal.
Original languageEnglish
Pages (from-to)2492-2498
Number of pages7
JournalStatistics and Probability Letters
Volume83
Issue number11
DOIs
Publication statusPublished - 1 Nov 2013
Externally publishedYes

Keywords

  • Bernstein type inequality
  • Covariance selection
  • Large correlation matrix
  • Large covariance matrix
  • Thresholding

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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