Qiu, Y. and Chen, S. (2013). Band Width Selection for High-dimensional Covariance Matrix Estimation. Revision invited by the Journal of the American Statistical Association.
Qiu, Y. and Chen, S. (2012). Test for Bandedness of High-dimensional Covariance Matrices and Bandwidth Estimation. The Annals of Statistics 40 1285-1314.
pdf, supplement, banded-test-code, bandwidth-estimation-code