Positive-definite _1-penalized estimation of large covariance matrices
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Publication:4904725
DOI10.1080/01621459.2012.725386zbMATH Open1258.62063arXiv1208.5702OpenAlexW2113968881MaRDI QIDQ4904725FDOQ4904725
Authors: Lingzhou Xue, Hui Zou, Shiqian Ma 
Publication date: 31 January 2013
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: The thresholding covariance estimator has nice asymptotic properties for estimating sparse large covariance matrices, but it often has negative eigenvalues when used in real data analysis. To simultaneously achieve sparsity and positive definiteness, we develop a positive definite -penalized covariance estimator for estimating sparse large covariance matrices. An efficient alternating direction method is derived to solve the challenging optimization problem and its convergence properties are established. Under weak regularity conditions, non-asymptotic statistical theory is also established for the proposed estimator. The competitive finite-sample performance of our proposal is demonstrated by both simulation and real applications.
Full work available at URL: https://arxiv.org/abs/1208.5702
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