Law of Log Determinant of Sample Covariance Matrix and Optimal Estimation of Differential Entropy for High-Dimensional Gaussian Distributions
Tony Cai, Tengyuan Liang, and Harrison Zhou
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. & 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.