Adaptive covariance matrix estimation through block thresholding
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Publication:1940765
DOI10.1214/12-AOS999zbMATH Open1257.62060arXiv1211.0459OpenAlexW2078038009MaRDI QIDQ1940765FDOQ1940765
Authors: Ming Yuan, T. Tony Cai 
Publication date: 7 March 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Estimation of large covariance matrices has drawn considerable recent attention, and the theoretical focus so far has mainly been on developing a minimax theory over a fixed parameter space. In this paper, we consider adaptive covariance matrix estimation where the goal is to construct a single procedure which is minimax rate optimal simultaneously over each parameter space in a large collection. A fully data-driven block thresholding estimator is proposed. The estimator is constructed by carefully dividing the sample covariance matrix into blocks and then simultaneously estimating the entries in a block by thresholding. The estimator is shown to be optimally rate adaptive over a wide range of bandable covariance matrices. A simulation study is carried out and shows that the block thresholding estimator performs well numerically. Some of the technical tools developed in this paper can also be of independent interest.
Full work available at URL: https://arxiv.org/abs/1211.0459
Recommendations
adaptive estimationoptimal rate of convergencespectral normminimax estimationFrobenius normblock thresholding
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)
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