Cai, T. Tony; Liang, Tengyuan; Zhou, Harrison H. - In: Journal of Multivariate Analysis 137 (2015) C, pp. 161-172
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...