Covariance regularization by thresholding
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Publication:1000302
DOI10.1214/08-AOS600zbMATH Open1196.62062arXiv0901.3079OpenAlexW3099609308MaRDI QIDQ1000302FDOQ1000302
Authors: Elizaveta Levina, P. J. Bickel 
Publication date: 6 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: This paper considers regularizing a covariance matrix of variables estimated from observations, by hard thresholding. We show that the thresholded estimate is consistent in the operator norm as long as the true covariance matrix is sparse in a suitable sense, the variables are Gaussian or sub-Gaussian, and , and obtain explicit rates. The results are uniform over families of covariance matrices which satisfy a fairly natural notion of sparsity. We discuss an intuitive resampling scheme for threshold selection and prove a general cross-validation result that justifies this approach. We also compare thresholding to other covariance estimators in simulations and on an example from climate data.
Full work available at URL: https://arxiv.org/abs/0901.3079
Recommendations
covariance estimationregularizationsparsitythresholdinglarge \(p\) small \(n\)climate datahigh dimension low sample size
Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)
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