Direct shrinkage estimation of large dimensional precision matrix
From MaRDI portal
Abstract: In this work we construct an optimal shrinkage estimator for the precision matrix in high dimensions. We consider the general asymptotics when the number of variables and the sample size so that . The precision matrix is estimated directly, without inverting the corresponding estimator for the covariance matrix. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal shrinkage intensities and estimate them consistently. The resulting distribution-free estimator has almost surely the minimum Frobenius loss. Additionally, we prove that the Frobenius norms of the inverse and of the pseudo-inverse sample covariance matrices tend almost surely to deterministic quantities and estimate them consistently. At the end, a simulation is provided where the suggested estimator is compared with the estimators for the precision matrix proposed in the literature. The optimal shrinkage estimator shows significant improvement and robustness even for non-normally distributed data.
Recommendations
- scientific article; zbMATH DE number 7168259
- Shrinkage estimation of large dimensional precision matrix using random matrix theory
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Optimal shrinkage estimator for high-dimensional mean vector
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
Cites work
- scientific article; zbMATH DE number 5817573 (Why is no real title available?)
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 5657662 (Why is no real title available?)
- scientific article; zbMATH DE number 1047754 (Why is no real title available?)
- scientific article; zbMATH DE number 1047772 (Why is no real title available?)
- scientific article; zbMATH DE number 813679 (Why is no real title available?)
- scientific article; zbMATH DE number 889593 (Why is no real title available?)
- scientific article; zbMATH DE number 6176347 (Why is no real title available?)
- scientific article; zbMATH DE number 1391247 (Why is no real title available?)
- scientific article; zbMATH DE number 4182510 (Why is no real title available?)
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- A partial overview of the theory of statistics with functional data
- A test for the mean vector with fewer observations than the dimension
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive covariance matrix estimation through block thresholding
- An introduction to random matrices
- Asymptotic behavior of spectral function of empirical covariance matrices
- Asymptotics in statistics. Some basic concepts.
- Contributions in infinite-dimensional statistics and related topics. Selected papers from the 3rd international workshop on functional and operatorial statistics (IWFOS'2014), Stresa, Italy, June 19--21, 2014
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Elliptically contoured models in statistics and portfolio theory
- Estimation of high-dimensional low-rank matrices
- Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
- Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
- Estimation of the precision matrix of multivariate Kotz type model
- Finite sample size effect on minimum variance beamformers: optimum diagonal loading factor for large arrays
- Functional data analysis.
- Gaussian fluctuations for sample covariance matrices with dependent data
- High dimensional covariance matrix estimation using a factor model
- Improved Estimation of Generalized Variance and Precision
- Improved Minimax Estimators of Normal Convariance and Precision Matrices
- Improved minimax estimation of a normal precision matrix
- Inference for functional data with applications
- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Limiting spectral distribution for a class of random matrices
- Matrix Analysis
- Most-predictive design points for functional data predictors
- Multivariate Theory for Analyzing High Dimensional Data
- Multivariate empirical Bayes and estimation of covariance matrices
- Nonparametric models for functional data, with application in regression, time series prediction and curve discrimination
- On asymptotics of eigenvectors of large sample covariance matrix
- On improved estimation of normal precision matrix and discriminant coefficients
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Partial linear modelling with multi-functional covariates
- Regularized rank-based estimation of high-dimensional nonparanormal graphical models
- Shrinkage estimation of large dimensional precision matrix using random matrix theory
- Spectral analysis of large dimensional random matrices
- Spectral convergence for a general class of random matrices
- Statistical analysis of observations of increasing dimension. Transl. from the Russian
- Statistics for high-dimensional data. Methods, theory and applications.
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- Variable selection in infinite-dimensional problems
- Vast portfolio selection with gross-exposure constraints
Cited in
(26)- Asset allocation with correlation: a composite trade-off
- Recent advances in shrinkage-based high-dimensional inference
- Monitoring mean changes in persistent multivariate time series
- Optimal shrinkage estimator for high-dimensional mean vector
- Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Higher order moments of the estimated tangency portfolio weights
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- The comparison of the estimators of banded toeplitz covariance structure under the high-dimensional multivariate model
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- An introduction to recent advances in high/infinite dimensional statistics
- Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
- On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
- scientific article; zbMATH DE number 7168259 (Why is no real title available?)
- A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting
- A direct method to Frobenius norm-based matrix regression
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Quadratic shrinkage for large covariance matrices
- Fluctuations of the diagonal entries of a large sample precision matrix
- Discriminant analysis in small and large dimensions
- Shrinking characteristics of precision matrix estimators
- Shrinkage estimation of large dimensional precision matrix using random matrix theory
- Inference on the eigenvalues of the normalized precision matrix
- Testing for independence of large dimensional vectors
- Sequential monitoring of high‐dimensional time series
This page was built for publication: Direct shrinkage estimation of large dimensional precision matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q268760)
