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Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

Cai, T. Tony, Liang, Tengyuan, Zhou, Harrison H.·2015·Journal of Multivariate Analysis
DOI 10.1016/j.jmva.2015.02.003
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Research works printed but not linked: 24

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  2. Beirlant, 1997, Nonparametric entropy estimation: an overview, Int. J. Math. Stat. Sci., 6, 17
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  17. Mathai, 1999, Random p-content of a p-parallelotope in euclidean n-space, Adv. Appl. Probab., 31, 343, 10.1239/aap/1029955138 · DOI
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  19. H.H. Nguyen, V. Vu, Random matrices: law of the determinant, 2011. ArXiv Preprint arXiv:1112.0752. · arXiv
  20. Nielsen, 1999, The distribution of volume reductions induced by isotropic random projections, Adv. Appl. Probab., 31, 985, 10.1239/aap/1029955254 · DOI
  21. A. Rouault, Asymptotic behavior of random determinants in the Laguerre, Gram and Jacobi ensembles, 2006. ArXiv Preprint arXiv:math/0607767. · arXiv
  22. S. Srivastava, M.R. Gupta, Bayesian estimation of the entropy of the multivariate Gaussian, in: IEEE International Symposium on Information Theory, 2008, pp. 1103–1107. · DOI
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Metadata

Authors
Cai, T. T., Liang, T., & Zhou, H. H.
Venue
Journal of Multivariate Analysis
Publisher
Elsevier BV
Published
2015-05
Volume
137
Pages
161-172
ISSN
0047-259X
DOI
10.1016/j.jmva.2015.02.003
Cited by
52
References
0
Language
en
Licence
Funders
  • NSF (DMS-0604954)
  • NSF FRG (DMS-0854973, DMS-0854975)
  • NSF Career Award (DMS-0645676)

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CoChat. (2026). Citation check: Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions. https://app.cochat.ai/papers/10.1016/j.jmva.2015.02.003
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Cai, T. T., Liang, T., & Zhou, H. H. (2015). Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions. Journal of Multivariate Analysis. https://doi.org/10.1016/j.jmva.2015.02.003