The masked sample covariance estimator: an analysis using matrix concentration inequalities

DOI10.1093/IMAIAI/IAS001MaRDI QIDQ2869798zbMATH OpenOpenAlexFDO

Authors Richard Y. Chen, Alex Gittens, Joel A. Tropp

Publication date 6 January 2014

Published in Information and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.1637

zbMATH Keywords

covariance estimationrandom matrixSchur productmatrix concentration inequalitymatrix Khintchine inequalitymatrix rosenthal inequality

Mathematics Subject Classification ID

Large deviations (60F10) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)

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Cited in

(17)

• Robust modifications of U-statistics and applications to covariance estimation problems
• New challenges in covariance estimation: multiple structures and coarse quantization
• Covariance estimation under one-bit quantization
• Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
• Convex Recovery of a Structured Signal from Independent Random Linear Measurements
• Monte Carlo Methods for Estimating the Diagonal of a Real Symmetric Matrix
• Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
• Perturbations and projections of Kalman-Bucy semigroups
• Estimation from nonlinear observations via convex programming with application to bilinear regression
• Second-order matrix concentration inequalities
• Matrix concentration inequalities via the method of exchangeable pairs
• Moment inequalities for matrix-valued U-statistics of order 2
• The Masked Sample Covariance Estimator: An Analysis via Matrix Concentration Inequalities
• Approximation of the average of some random matrices
• Laguerre deconvolution with unknown matrix operator
• Stochastic variance-reduced cubic regularization methods
• The expected norm of a sum of independent random matrices: an elementary approach

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