On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

DOI10.1016/J.JMVA.2014.08.006zbMATH Open1333.60047arXiv1308.2608OpenAlexW2006037805MaRDI QIDQ458655FDOQ458655

Authors: Arjun K. Gupta, Taras Bodnar, Nestor Parolya 

Publication date: 8 October 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal shrinkage intensities and estimate them consistently. The developed distribution-free estimators obey almost surely the smallest Frobenius loss over all linear shrinkage estimators for the covariance matrix. The case we consider includes the number of variables $pightarrowinfty$ and the sample size $nightarrowinfty$ so that $p/nightarrowcin(0,+infty)$. Additionally, we prove that the Frobenius norm of the sample covariance matrix tends almost surely to a deterministic quantity which can be consistently estimated.

Full work available at URL: https://arxiv.org/abs/1308.2608

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zbMATH Keywords

random matrix theorystrong convergencelarge dimensional covariance matrixoptimal linear shrinkage estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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Cited In (23)

• Monitoring mean changes in persistent multivariate time series
• On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
• Testing for independence of large dimensional vectors
• On parameter estimation for high dimensional errors-in-variables models
• Optimal shrinkage estimator for high-dimensional mean vector
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• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
• Title not available (Why is that?)
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• Exact and asymptotic tests on a factor model in low and large dimensions with applications
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• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Estimation of the global minimum variance portfolio in high dimensions
• Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
• Discriminant analysis in small and large dimensions
• Optimal cleaning for singular values of cross-covariance matrices
• Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
• Semiparametric estimation of the high-dimensional elliptical distribution
• Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
• Addressing non-normality in multivariate analysis using the \(t\)-distribution

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