Covariate Adjusted Precision Matrix Estimation with an Application in Genetical Genomics
Tony Cai, Hongzhe Li, Weidong Liu, and Jichun Xie
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. (2011).
Adaptive thresholding for sparse covariance matrix estimation.
J. American Statistical Association 494, 672-684.
Cai, T., Liu, W. & Luo, X. (2011).
A constrained l_{1} minimization approach to sparse precision matrix estimation.
J. American Statistical Association 494, 594-607.
Cai, T. & Zhou, H. (2012).
Optimal rates of convergence for sparse covariance matrix estimation.
The Annals of Statistics 40, 2389-2420.