Adaptive Covariance Matrix Estimation Through Block Thresholding
Tony Cai and Ming Yuan
Cai, T. (1999).
Adaptive wavelet estimation: a block thresholding and oracle inequality approach.
The Annals of Statistics 27, 898-924.
Cai, T., Zhang, C.-H. & Zhou, H. (2010).
Optimal rates of convergence for covariance matrix estimation
The Annals of Statistics 38, 2118-2144.
Cai, T., Liu, W. & Luo, X. (2011).
A constrained l_{1} minimization approach to sparse precision matrix estimation.
J. American Statistical Association 106, 594-607.
Cai, T. & Liu, W. (2011).
Adaptive thresholding for sparse covariance matrix estimation.
J. American Statistical Association 106, 672-684.
Cai, T. & Zhou, H. (2012).
Minimax estimation of large covariance matrices under l_{1} norm (with discussion)
Statistica Sinica 22, 1319-1378.
Cai, T. & Zhou, H. (2012).
Optimal rates of convergence for sparse covariance matrix estimation.
The Annals of Statistics 40, 2389-2420.
Cai, T., Ren, Z. & Zhou, H. (2013).
Optimal rates of convergence for estimating Toeplitz covariance matrices.
Probability Theory and Related Fields 156, 101-143.