Abstract:We consider high-dimensional multivariate linear regression models, where the joint distribution of covariates and response variables is a multivariate normal distribution with a bandable covariance matrix. The main goal of this paper is to estimate the regression coefficient matrix, which is a function of the bandable covariance matrix. Although the tapering estimator of covariance has the minimax optimal convergence rate for the class of bandable covariances, we show that it is sub-optimal for the regression… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.