Discussion of “Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation”

Abstract

Professors Cai, Ren and Zhou ought to be congratulated for writing such a wonderful expository paper on optimal estimation of high-dimensional covariance and precision matrices. Nearly all optimality results on large matrix estimation were established by the authors (and their co-authors). Thus, they are the most appropriate team to write this much needed review article. My discussion contains three sections.