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

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  • Cai, T. Tony
  • Liang, Tengyuan
  • Zhou, Harrison H.

Abstract

Differential entropy and log determinant of the covariance matrix of a multivariate Gaussian distribution have many applications in coding, communications, signal processing and statistical inference. In this paper we consider in the high-dimensional setting optimal estimation of the differential entropy and the log-determinant of the covariance matrix. We first establish a central limit theorem for the log determinant of the sample covariance matrix in the high-dimensional setting where the dimension p(n) can grow with the sample size n. An estimator of the differential entropy and the log determinant is then considered. Optimal rate of convergence is obtained. It is shown that in the case p(n)/n→0 the estimator is asymptotically sharp minimax. The ultra-high-dimensional setting where p(n)>n is also discussed.

Suggested Citation

  • Cai, T. Tony & Liang, Tengyuan & Zhou, Harrison 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, Elsevier, vol. 137(C), pages 161-172.
    • Handle: RePEc:eee:jmvana:v:137:y:2015:i:c:p:161-172
    DOI: 10.1016/j.jmva.2015.02.003
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    References listed on IDEAS

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    1. Misra, Neeraj & Singh, Harshinder & Demchuk, Eugene, 2005. "Estimation of the entropy of a multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 324-342, February.
    2. Jonsson, Dag, 1982. "Some limit theorems for the eigenvalues of a sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 12(1), pages 1-38, March.
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    Cited by:

    1. Tengyuan Liang, 2020. "How Well Generative Adversarial Networks Learn Distributions," Working Papers 2020-154, Becker Friedman Institute for Research In Economics.
    2. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.

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