Joint Estimation of Multiple High-dimensional Precision Matrices
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., Wang, L. & Xu, G. (2010).
Shifting inequality and recovery of sparse signals
IEEE Transactions on Signal Processing 58, 1300-1308.
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. & 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., Liu, W. & Zhou, H. (2014).
Estimating sparse precision matrix: Optimal rates of convergence and adaptive estimation
The Annals of Statistics, to appear.