Statistical analysis of latent generalized correlation matrix estimation in transelliptical distribution
From MaRDI portal
(Redirected from Publication:502854)
Abstract: Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of-the-art in estimating large correlation matrices focuses on the use of Pearson's sample correlation matrix. Although Pearson's sample correlation matrix enjoys various good properties under Gaussian models, it is not an effective estimator when facing heavy-tailed distributions. As a robust alternative, Han and Liu [J. Am. Stat. Assoc. 109 (2015) 275-287] advocated the use of a transformed version of the Kendall's tau sample correlation matrix in estimating high dimensional latent generalized correlation matrix under the transelliptical distribution family (or elliptical copula). The transelliptical family assumes that after unspecified marginal monotone transformations, the data follow an elliptical distribution. In this paper, we study the theoretical properties of the Kendall's tau sample correlation matrix and its transformed version proposed in Han and Liu [J. Am. Stat. Assoc. 109 (2015) 275-287] for estimating the population Kendall's tau correlation matrix and the latent Pearson's correlation matrix under both spectral and restricted spectral norms. With regard to the spectral norm, we highlight the role of "effective rank" in quantifying the rate of convergence. With regard to the restricted spectral norm, we for the first time present a "sign sub-Gaussian condition" which is sufficient to guarantee that the rank-based correlation matrix estimator attains the fast rate of convergence. In both cases, we do not need any moment condition.
Recommendations
- High dimensional semiparametric estimate of latent covariance matrix for matrix-variate
- Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate
- ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
Cited in
(20)- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Detection of block-exchangeable structure in large-scale correlation matrices
- ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
- Canonical correlation analysis for elliptical copulas
- Efficient distributed estimation of high-dimensional sparse precision matrix for transelliptical graphical models
- Robust modifications of U-statistics and applications to covariance estimation problems
- Moment inequalities for matrix-valued U-statistics of order 2
- Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate
- Large covariance estimation through elliptical factor models
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Detecting approximate replicate components of a high-dimensional random vector with latent structure
- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
- Estimation of time-varying covariance matrices for large datasets
- scientific article; zbMATH DE number 7306864 (Why is no real title available?)
- Robust Causal Structure Learning with Some Hidden Variables
- Rank-based tapering estimation of bandable correlation matrices
- Robust tests for scatter separability beyond Gaussianity
- Large Precision Matrix Estimation with Unknown Group Structure
- High-dimensional latent Gaussian count time series: concentration results for autocovariances and applications
- A convex optimization approach to high-dimensional sparse quadratic discriminant analysis
This page was built for publication: Statistical analysis of latent generalized correlation matrix estimation in transelliptical distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q502854)
