Covariance Estimation for Matrix-valued Data
From MaRDI portal
Abstract: Covariance estimation for matrix-valued data has received an increasing interest in applications. Unlike previous works that rely heavily on matrix normal distribution assumption and the requirement of fixed matrix size, we propose a class of distribution-free regularized covariance estimation methods for high-dimensional matrix data under a separability condition and a bandable covariance structure. Under these conditions, the original covariance matrix is decomposed into a Kronecker product of two bandable small covariance matrices representing the variability over row and column directions. We formulate a unified framework for estimating bandable covariance, and introduce an efficient algorithm based on rank one unconstrained Kronecker product approximation. The convergence rates of the proposed estimators are established, and the derived minimax lower bound shows our proposed estimator is rate-optimal under certain divergence regimes of matrix size. We further introduce a class of robust covariance estimators and provide theoretical guarantees to deal with heavy-tailed data. We demonstrate the superior finite-sample performance of our methods using simulations and real applications from a gridded temperature anomalies dataset and a S&P 500 stock data analysis.
Cites work
- scientific article; zbMATH DE number 741107 (Why is no real title available?)
- scientific article; zbMATH DE number 1391247 (Why is no real title available?)
- A constructive arbitrary-degree Kronecker product decomposition of tensors.
- A shrinkage principle for heavy-tailed data: high-dimensional robust low-rank matrix recovery
- Adaptive covariance matrix estimation through block thresholding
- Adaptive thresholding for sparse covariance matrix estimation
- Banding sample autocovariance matrices of stationary processes
- Bounds on tail probabilities for quadratic forms in dependent sub-Gaussian random variables
- Covariance regularization by thresholding
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
- General class of covariance structures for two or more repeated factors in longitudinal data analysis
- Generalized probabilistic principal component analysis of correlated data
- L2RM: Low-Rank Linear Regression Models for High-Dimensional Matrix Responses
- Nonparametric matrix response regression with application to brain imaging data analysis
- On Estimation of Covariance Matrices With Kronecker Product Structure
- On consistency and sparsity for principal components analysis in high dimensions
- On the distribution of the largest eigenvalue in principal components analysis
- Operator norm consistent estimation of large-dimensional sparse covariance matrices
- Optimal rates of convergence for covariance matrix estimation
- Rate-optimal perturbation bounds for singular subspaces with applications to high-dimensional statistics
- Regularized Matrix Regression
- Regularized estimation of large covariance matrices
- Robust Scatter Matrix Estimation for High Dimensional Distributions With Heavy Tail
- Robust estimation of high-dimensional covariance and precision matrices
- Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
- Separable covariance arrays via the Tucker product, with applications to multivariate relational data
- Some matrix-variate distribution theory: Notational considerations and a Bayesian application
- Tests for separability in nonparametric covariance operators of random surfaces
- The likelihood ratio test for a separable covariance matrix
- The mle algorithm for the matrix normal distribution
- The strong limits of random matrix spectra for sample matrices of independent elements
Cited in
(14)- Cross-validation of covariance structures using the frobenius matrix distance as a discrepancy function
- Covariance Matrix Estimation for High-Throughput Biomedical Data with Interconnected Communities
- Joint Mean and Covariance Estimation with Unreplicated Matrix-Variate Data
- Simultaneous procedures for covariance matrices
- The role of the covariance matrix in the least-squares estimation for a common mean
- A calibration method for non-positive definite covariance matrix in multivariate data analysis
- Inferring the eigenvalues of covariance matrices from limited, noisy data
- Block structure-based covariance tensor decomposition for group identification in matrix variables
- Estimation of deviation for random covariance matrices
- Structured regularization covariance estimation in tensor-valued data analysis
- A new non-parametric Kendall's tau for matrix-valued elliptical observations
- Robust Covariance Estimation and Explainable Outlier Detection for Matrix-Valued Data
- Covariograms Generated by Valuations
- Statistical inference for matrix-vector linear regression without debiasing under Kronecker covariance structure
This page was built for publication: Covariance Estimation for Matrix-valued Data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6144776)
