Robust Shrinkage Estimation of High-Dimensional Covariance Matrices

DOI10.1109/TSP.2011.2138698MaRDI QIDQ4573154zbMATHFDO

Authors Yilun Chen, Ami Wiesel, Alfred O. III Hero

Publication date 18 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.5331

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are suitable for high dimensional problems with a small number of samples (large $p$ small $n$). We start from a classical robust covariance estimator [Tyler(1987)], which is distribution-free within the family of elliptical distribution but inapplicable when $n<p$. Using a shrinkage coefficient, we regularize Tyler's fixed point iterations. We prove that, for all $n$ and $p$, the proposed fixed point iterations converge to a unique limit regardless of the initial condition. Next, we propose a simple, closed-form and data dependent choice for the shrinkage coefficient, which is based on a minimum mean squared error framework. Simulations demonstrate that the proposed method achieves low estimation error and is robust to heavy-tailed samples. Finally, as a real world application we demonstrate the performance of the proposed technique in the context of activity/intrusion detection using a wireless sensor network.

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• Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators
• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• A review of Tyler's shape matrix and its extensions
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
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• Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals
• scientific article; zbMATH DE number 7376767 (Why is no real title available?)
• Adaptive control and signal processing literature survey (No. 27)
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• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• Quadratic shrinkage for large covariance matrices
• Shrinkage Estimators for Covariance Matrices
• Marčenko-Pastur law for Tyler's M-estimator
• Multivariate myriad filters based on parameter estimation of Student-\(t\) distributions
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Improving portfolios global performance using a cleaned and robust covariance matrix estimate
• Kernel generalized canonical correlation analysis
• An adaptive covariance parameterization technique for the ensemble Gaussian mixture filter
• Conic geometric optimization on the manifold of positive definite matrices

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