Covariance selection by thresholding the sample correlation matrix

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 constant C1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate (logp/n)1/2 is shown to be optimal.

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Year of publication:	2013
Authors:	Jiang, Binyan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 11, p. 2492-2498
Publisher:	Elsevier
Subject:	Bernstein type inequality \| Covariance selection \| Large correlation matrix \| Large covariance matrix \| Thresholding

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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