bandable

Based on incomplete data, estimators for bandable and sparse covariance matrices are proposed and their theoretical and numerical properties are investigated. Minimax rates of convergence are established under the spectral norm loss and the proposed estimators are shown to be rate-optimal under mild regularity conditions.

2016, T. Tony Cai, Anru Zhang, “Minimax Rate-optimal Estimation of High-dimensional Covariance Matrices with Incomplete Data”, in arXiv