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Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
Banded covariance matrix bandwidth estimation high data dimension largep, small n nonparametric.
2012/9/17
Motivated by the latest effort to employ banded matrices to esti-mate a high-dimensional covariance Σ, we propose a test for Σbeing banded with possible diverging bandwidth. The test is adaptive to th...
A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process
Empricial processes Functional limit theorems Strong theorems Density estimation LATEX2ε
2009/9/16
Consider the following local empirical process indexed by $K in mathcal{G}$, for fixed $h>0$ and $z in mathbb{R}^d$: $$G_n(K,h,z):=sum_{i=1}^n K (frac{Z_i-z}{h^{1/d}}) - mathbb{E} (K (frac{Z_i-z}{h^{1...