Exponential bounds for regularized Hotelling’s T2 statistic in high dimension
推导了高维正则化Hotelling T2统计量的指数不等式，适用于对称分布和弱矩假设的一般分布，并提出了惩罚系数的最优选择。
We obtain exponential inequalities for regularized Hotelling’s Tn2 statistics, that take into account the potential high dimensional aspects of the problem. We explore the finite sample properties of the tail of these statistics by deriving exponential bounds for symmetric distributions and also for general distributions under weak moment assumptions (we never assume exponential moments). For this, we use a penalized estimator of the covariance matrix and propose an optimal choice for the penalty coefficient.