The constrained minimization estimator minimizes subject to
(1)
Its constraints and objective separate by columns. Feasibility of the true precision matrix and elementary matrix-norm inequalities yield entrywise error bounds under an entrywise covariance-estimation bound.

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  1. Precision matrix
  2. Covariance matrix
  3. Covariance
  4. Variance
  5. Expected value
  6. Probability theory
  7. Probability and statistics
  8. Area of mathematics
  9. Mathematics
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