Robust sparse covariance estimation by thresholding Tyler's M-estimator
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Abstract: Estimating a high-dimensional sparse covariance matrix from a limited number of samples is a fundamental problem in contemporary data analysis. Most proposals to date, however, are not robust to outliers or heavy tails. Towards bridging this gap, in this work we consider estimating a sparse shape matrix from samples following a possibly heavy tailed elliptical distribution. We propose estimators based on thresholding either Tyler's M-estimator or its regularized variant. We derive bounds on the difference in spectral norm between our estimators and the shape matrix in the joint limit as the dimension and sample size tend to infinity with . These bounds are minimax rate-optimal. Results on simulated data support our theoretical analysis.
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