Covariance selection by thresholding the sample correlation matrix

Binyan Jiang

Statistics & Probability Letters, 2013, vol. 83, issue 11, 2492-2498

Abstract: 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.

Keywords: Bernstein type inequality; Covariance selection; Large correlation matrix; Large covariance matrix; Thresholding (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.07.008

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