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)- Some statistical problems with high dimensional financial data
- Tests for covariance matrix with fixed or divergent dimension
- Testing of high dimensional mean vectors via approximate factor model
- scientific article; zbMATH DE number 7387534 (Why is no real title available?)
- Optimal rates of convergence for sparse covariance matrix estimation
- Risks of large portfolios
- Covariate-adjusted Gaussian graphical model estimation with false discovery rate control
- scientific article; zbMATH DE number 7306878 (Why is no real title available?)
- Estimation of graphical models through structured norm minimization
- A factor-GARCH model for high dimensional volatilities
- Graph-based regularization for regression problems with alignment and highly correlated designs
- Detection of units with pervasive effects in large panel data models
- Minimax bounds for sparse PCA with noisy high-dimensional data
- The conditional censored graphical Lasso estimator
- Recent developments in high dimensional covariance estimation and its related issues, a review
- Multivariate variable selection by means of null-beamforming
- Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
- On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
- High dimensional covariance matrix estimation using multi-factor models from incomplete information
- Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
- Efficient computation for differential network analysis with applications to quadratic discriminant analysis
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- Covariance Model with General Linear Structure and Divergent Parameters
- Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis
- Covariance structure estimation with Laplace approximation
- Estimation of functionals of sparse covariance matrices
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- Majority vote for distributed differentially private sign selection
- Covariance Matrix Estimation via Network Structure
- Nonparametric estimation of large covariance matrices with conditional sparsity
- High-dimensional autocovariance matrices and optimal linear prediction
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- NOVELIST estimator of large correlation and covariance matrices and their inverses
- Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective
- Maximum interpoint distance of high-dimensional random vectors
- Estimation of autocovariance matrices for high dimensional linear processes
- Covariance estimation via fiducial inference
- High dimensional mean-variance optimization through factor analysis
- Rank-based correlation matrix estimation for high dimensional microbiome data
- Robust recovery of Robinson property in \(L^p\)-graphons: a cut-norm approach
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- Projection tests for high-dimensional spiked covariance matrices
- Factor-adjusted multiple testing of correlations
- Estimation of the inverse scatter matrix of an elliptically symmetric distribution
- Inference for high-dimensional differential correlation matrices
- Large covariance estimation through elliptical factor models
- Non-asymptotic error controlled sparse high dimensional precision matrix estimation
- Distributed inference for linear support vector machine
- Gaussian graphical model estimation with false discovery rate control
- Renewable Huber estimation method for streaming datasets
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- Sign-based test for mean vector in high-dimensional and sparse settings
- A dimension reduction based approach for estimation and variable selection in partially linear single-index models with high-dimensional covariates
- A comparison of methods for estimating the determinant of high-dimensional covariance matrix
- Monitoring of group-structured high-dimensional processes via sparse group Lasso
- Statistical inference on the significance of rows and columns for matrix-valued data in an additive model
- Inference on covariance-mean regression
- Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models
- A Permutation Test for Two-Sample Means and Signal Identification of High-dimensional Data
- Matrix means and a novel high-dimensional shrinkage phenomenon
- Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions
- Hypothesis testing for high-dimensional multivariate regression with false discovery rate control
- Spectrum of high-dimensional sample covariance and related matrices: a selective review
- Post-processed posteriors for banded covariances
- Robust sparse covariance estimation by thresholding Tyler's M-estimator
- High dimensional change point inference: recent developments and extensions
- Remodeling and estimation for sparse partially linear regression models
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Threshold selection for covariance estimation
- Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- A large covariance matrix estimator under intermediate spikiness regimes
- Ultrahigh dimensional precision matrix estimation via refitted cross validation
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Intelligent Initialization and Adaptive Thresholding for Iterative Matrix Completion: Some Statistical and Algorithmic Theory forAdaptive-Impute
- A fast iterative algorithm for high-dimensional differential network
- Optimal sparse linear prediction for block-missing multi-modality data without imputation
- Discriminant analysis in small and large dimensions
- Exponent of cross-sectional dependence for residuals
- Compressed covariance estimation with automated dimension learning
- Trimmed estimators for large dimensional sparse covariance matrices
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso
- Covariance Estimation for Matrix-valued Data
- High-dimensional covariance matrix estimation with missing observations
- Testing regression coefficients in high-dimensional and sparse settings
- Structural inference in sparse high-dimensional vector autoregressions
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
- Alteration detection of tensor dependence structure via sparsity-exploited reranking algorithm
- Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models
- Large volatility matrix analysis using global and national factor models
- Covariance regularization by thresholding
- Adaptive First-Order Methods for General Sparse Inverse Covariance Selection
- Diagonally Dominant Principal Component Analysis
- Point process convergence for symmetric functions of high-dimensional random vectors
- Estimation of sparse covariance matrix via non-convex regularization
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
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)
