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 language | English |
|---|---|
| Pages (from-to) | 2492-2498 |
| Number of pages | 7 |
| Journal | Statistics and Probability Letters |
| Volume | 83 |
| Issue number | 11 |
| DOIs | |
| Publication status | Published - 1 Nov 2013 |
| Externally published | Yes |
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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