Robust modifications of U-statistics and applications to covariance estimation problems (Q2278677)

Consider a random vector \(Y\) with unknown mean and unknown covariance matrix \(\Sigma.\) Independent copies of \(Y\) are observed. In the paper under review, the problem of designing an estimator of \(\Sigma\) is studied that admits exponential deviation bounds in the operator norm under mild assumptions, such as the existence of only the 4th moment of \(Y\). For this purpose, robust modifications of the operator-valued U-statistics are proposed and non-asymptotic results are obtained for their performance. Then implications for the covariance estimation problem and its versions are outlined.