标题： 关于大协方差矩阵的带宽估计量的理论与实际优点 显示英文标题

标题： On the theoretic and practical merits of the banding estimator for large covariance matrices

摘要： 本文研究了 Bickel 和 Levina（2008）提出的用于估计大协方差矩阵的带宽选择估计量。我们证明，对于一类近似带状的协方差矩阵，该带宽选择估计量在算子范数下达到最优收敛速度，改进了 Bickel 和 Levina（2008）中的现有结果。此外，我们提出了一种基于 Stein 无偏风险估计（Sure）的方法来选取带宽估计量的带宽参数。模拟结果显示，Sure 调整后的带宽选择估计量优于竞争方法。 显示英文摘要

摘要： This paper considers the banding estimator proposed in Bickel and Levina (2008) for estimation of large covariance matrices. We prove that the banding estimator achieves rate-optimality under the operator norm, for a class of approximately banded covariance matrices, improving the existing results in Bickel and Levina (2008). In addition, we propose a Stein's unbiased risk estimate (Sure)-type approach for selecting the bandwidth for the banding estimator. Simulations indicate that the Sure-tuned banding estimator outperforms competing estimators.