A Non-Asymptotic Class of Dense Precision Matrix Estimators: Complexity, Signal and Double Descent
稠密精度矩阵估计的非渐近框架:复杂度、信号与双重下降
Precision matrix estimation is a cornerstone concept in statistics, economics, and finance. Despite advances in recent years, estimation methods that are simultaneously (i) dense, (ii) consistent, and (iii) model-free are lacking. While each of these targets can be met separately, achieving them together is challenging.We address this gap by introducing a general class of estimators that unifies these features within a nonasymptotic framework, allowing for explicit…