Covariance Selection by Thresholding the Sample Correlation Matrix

• Main Author: JIANG, Binyan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Bernstein type inequality; Covariance selection; Large correlation matrix; Large covariance matrix; Thresholding; Databases and Information Systems; Numerical Analysis and Scientific Computing
• Online Access: https://ink.library.smu.edu.sg/sis_research/2049; https://ink.library.smu.edu.sg/context/sis_research/article/3048/viewcontent/JiangBY2013SPLCovariance_AFV.pdf
• Institution: Singapore Management University

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 sho...