Minimax estimation of large precision matrices with bandable Cholesky factor
Cholesky因子可带状化的大型精度矩阵的极小极大估计
The last decade has witnessed significant methodological and theoretical advances in estimating large precision matrices. In particular, there are scientific applications such as longitudinal data, meteorology and spectroscopy in which the ordering of the variables can be interpreted through a bandable structure on the Cholesky factor of the precision matrix. However, the minimax theory has still been largely unknown, as opposed to the well established minimax results over…