Sharp operator-norm minimax rate for nonparanormal covariance estimation

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Let C(σmin⁡,σmax⁡)\mathcal C(\sigma_{\min},\sigma_{\max}) be the bounded-spectrum correlation class, and let Σ^\widehat{\bm{\Sigma}} estimate the latent correlation matrix Σ\bm{\Sigma}. Sharp operator-norm minimax rate. The nonparanormal operator-norm minimax risk satisfies

\inf_{\widehat{\bm{\Sigma}}}\sup_{\bm{\Sigma}\in\mathcal C(\sigma_{\min},\sigma_{\max})} \mathbb{E}\left\\|\widehat{\bm{\Sigma}}-\bm{\Sigma}\right\\|_{\mathrm{op}}\asymp\sqrt{p/n},

with the lower bound attained by a delocalized-block Assouad construction and the upper bound attained by MENS through operator-norm control of the oracle-shrinkage bias. The paper proves only the weaker n−1/2n^{-1/2} lower-bound floor, so the sharp rate remains open.

References

Primary source

Hamid Karamikabir and Mohammad Arashi, “Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications”, arXiv:2607.19825 (2026).

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