Partial estimation of covariance matrices
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Abstract: A classical approach to accurately estimating the covariance matrix Sigma of a p-variate normal distribution is to draw a sample of size n > p and form a sample covariance matrix. However, many modern applications operate with much smaller sample sizes, thus calling for estimation guarantees in the regime n << p. We show that a sample of size n = O(m log^6 p) is sufficient to accurately estimate in operator norm an arbitrary symmetric part of Sigma consisting of m < n entries per row. This follows from a general result on estimating Hadamard products M.Sigma, where M is an arbitrary symmetric matrix.
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Cites work
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- scientific article; zbMATH DE number 1254560 (Why is no real title available?)
- scientific article; zbMATH DE number 3244317 (Why is no real title available?)
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- Covariance estimation under one-bit quantization
- From low- to high-dimensional moments without magic
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