New Methods for Handling Singular Sample Covariance Matrices
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Publication:4615340
DOI10.1109/TIT.2018.2888734zbMATH Open1428.62241arXiv1111.0235OpenAlexW2964213435WikidataQ128777065 ScholiaQ128777065MaRDI QIDQ4615340FDOQ4615340
Authors:
Publication date: 28 January 2019
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: The estimation of a covariance matrix from an insufficient amount of data is one of the most common problems in fields as diverse as multivariate statistics, wireless communications, signal processing, biology, learning theory and finance. In a joint work of Marzetta, Tucci and Simon, a new approach to handle singular covariance matrices was suggested. The main idea was to use dimensionality reduction in conjunction with an average over the Stiefel manifold. In this paper we continue with this research and we consider some new approaches to solve this problem. One of the methods is called the Ewens estimator and uses a randomization of the sample covariance matrix over all the permutation matrices with respect to the Ewens measure. The techniques used to attack this problem are broad and run from random matrix theory to combinatorics.
Full work available at URL: https://arxiv.org/abs/1111.0235
Cited In (4)
- High-dimensional correlation matrix estimation for general continuous data with Bagging technique
- Assessing the estimation of nearly singular covariance matrices for modeling spatial variables
- Moment approach for singular values distribution of a large auto-covariance matrix
- On near and the nearest correlation matrix
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