Adaptive thresholding for sparse covariance matrix estimation
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Publication:3095185
DOI10.1198/JASA.2011.TM10560zbMATH Open1232.62086arXiv1102.2237OpenAlexW1981638497MaRDI QIDQ3095185FDOQ3095185
Authors: Weidong Liu, T. Tony Cai 
Publication date: 28 October 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1102.2237
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