Adaptive thresholding for sparse covariance matrix estimation
From MaRDI portal
Publication:3095185
Abstract: In this paper we consider estimation of sparse covariance matrices and propose a thresholding procedure which is adaptive to the variability of individual entries. The estimators are fully data driven and enjoy excellent performance both theoretically and numerically. It is shown that the estimators adaptively achieve the optimal rate of convergence over a large class of sparse covariance matrices under the spectral norm. In contrast, the commonly used universal thresholding estimators are shown to be sub-optimal over the same parameter spaces. Support recovery is also discussed. The adaptive thresholding estimators are easy to implement. Numerical performance of the estimators is studied using both simulated and real data. Simulation results show that the adaptive thresholding estimators uniformly outperform the universal thresholding estimators. The method is also illustrated in an analysis on a dataset from a small round blue-cell tumors microarray experiment. A supplement to this paper which contains additional technical proofs is available online.
Recommendations
Cited in
(only showing first 100 items - show all)- Maximum pairwise Bayes factors for covariance structure testing
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Estimation of autocovariance matrices for high dimensional linear processes
- Scaling it up: stochastic search structure learning in graphical models
- Testing independence with high-dimensional correlated samples
- Risks of large portfolios
- Generalized thresholding of large covariance matrices
- Minimax bounds for sparse PCA with noisy high-dimensional data
- Distributed inference for linear support vector machine
- Fast and adaptive sparse precision matrix estimation in high dimensions
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Adaptive covariance matrix estimation through block thresholding
- Large covariance estimation for compositional data via composition-adjusted thresholding
- Asymptotic theory for maximum deviations of sample covariance matrix estimates
- Sign-based test for mean vector in high-dimensional and sparse settings
- Gaussian graphical model estimation with false discovery rate control
- Positive-definite thresholding estimators of covariance matrices with zeros
- Regularization for high-dimensional covariance matrix
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- High-dimensional covariance matrix estimation with missing observations
- Bootstrapping factor models with cross sectional dependence
- Large covariance estimation through elliptical factor models
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Optimal rates of convergence for estimating Toeplitz covariance matrices
- A dimension reduction based approach for estimation and variable selection in partially linear single-index models with high-dimensional covariates
- A shrinkage principle for heavy-tailed data: high-dimensional robust low-rank matrix recovery
- High-dimensional covariance matrix estimation in approximate factor models
- Empirical likelihood test for the equality of several high-dimensional covariance matrices
- Generalized thresholding estimators for high-dimensional location parameters
- A regularization-based adaptive test for high-dimensional GLMs
- High-dimensional sparse MANOVA
- High dimensional change point inference: recent developments and extensions
- Factor analysis of correlation matrices when the number of random variables exceeds the sample size
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- The spectral norm of random inner-product kernel matrices
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- Refining genetically inferred relationships using treelet covariance smoothing
- Adaptive First-Order Methods for General Sparse Inverse Covariance Selection
- An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation
- Posterior contraction in sparse Bayesian factor models for massive covariance matrices
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
- Testing of high dimensional mean vectors via approximate factor model
- Optimal estimation and rank detection for sparse spiked covariance matrices
- High dimensional covariance matrix estimation using multi-factor models from incomplete information
- Tests for covariance matrix with fixed or divergent dimension
- Sparse covariance matrix estimation in high-dimensional deconvolution
- Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
- Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis
- Block-diagonal precision matrix regularization for ultra-high dimensional data
- High dimensional minimum variance portfolio estimation under statistical factor models
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Data science, big data and statistics
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Linear shrinkage estimation of large covariance matrices using factor models
- Statistical inference on the significance of rows and columns for matrix-valued data in an additive model
- Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
- Covariance structure regularization via Frobenius-norm discrepancy
- Bootstrap based inference for sparse high-dimensional time series models
- Covariance regularization by thresholding
- Projection tests for high-dimensional spiked covariance matrices
- A Cholesky-based estimation for large-dimensional covariance matrices
- Posterior convergence rates for estimating large precision matrices using graphical models
- Optimal rates of convergence for sparse covariance matrix estimation
- Testing regression coefficients in high-dimensional and sparse settings
- Random matrix theory in statistics: a review
- High dimensional mean-variance optimization through factor analysis
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Non-asymptotic error controlled sparse high dimensional precision matrix estimation
- Efficient Bayesian regularization for graphical model selection
- A multiple testing approach to the regularisation of large sample correlation matrices
- An adaptive test for the mean vector in large-\(p\)-small-\(n\) problems
- scientific article; zbMATH DE number 7387534 (Why is no real title available?)
- scientific article; zbMATH DE number 7415082 (Why is no real title available?)
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
- Estimation of graphical models through structured norm minimization
- Recent developments in high dimensional covariance estimation and its related issues, a review
- Ultrahigh dimensional precision matrix estimation via refitted cross validation
- Multivariate variable selection by means of null-beamforming
- Structural inference in sparse high-dimensional vector autoregressions
- Low-rank multi-parametric covariance identification
- Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models
- Estimation of time-varying covariance matrices for large datasets
- Distance-based outlier detection for high dimension, low sample size data
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Estimation of a sparse and spiked covariance matrix
- Robust high-dimensional factor models with applications to statistical machine learning
- Estimation of the inverse scatter matrix of an elliptically symmetric distribution
- Inference for high-dimensional differential correlation matrices
- The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
- Remodeling and estimation for sparse partially linear regression models
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- scientific article; zbMATH DE number 7376767 (Why is no real title available?)
- A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
This page was built for publication: Adaptive thresholding for sparse covariance matrix estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3095185)
