Random Matrix Derived Shrinkage of Spectral Precision Matrices

DOI10.1109/TSP.2015.2443726zbMATH Open1393.15045arXiv1411.7334MaRDI QIDQ4580783FDOQ4580783

Publication date: 22 August 2018

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

Abstract: Much research has been carried out on shrinkage methods for real-valued covariance matrices. In spectral analysis of

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-vector-valued time series there is often a need for good shrinkage methods too, most notably when the complex-valued spectral matrix is singular. The equivalent of the Ledoit-Wolf (LW) covariance matrix estimator for spectral matrices can be improved on using a Rao-Blackwell estimator, and using random matrix theory we derive its form. Such estimators can be used to better estimate inverse spectral (precision) matrices too, and a random matrix method has previously been proposed and implemented via extensive simulations. We describe the method, but carry out computations entirely analytically, and suggest a way of selecting an important parameter using a predictive risk approach. We show that both the Rao-Blackwell estimator and the random matrix estimator of the precision matrix can substantially outperform the inverse of the LW estimator in a time series setting. Our new methodology is applied to EEG-derived time series data where it is seen to work well and deliver substantial improvements for precision matrix estimation.

Full work available at URL: https://arxiv.org/abs/1411.7334

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52)

Cited In (3)

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