Optimal cleaning for singular values of cross-covariance matrices

DOI10.1214/22-AAP1842zbMATH Open1516.15022arXiv1901.05543OpenAlexW2909407637MaRDI QIDQ6103997FDOQ6103997

Authors: Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters 

Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We give a new algorithm for the estimation of the cross-covariance matrix $mathbbEX{Y}^{\prime }$ of two large dimensional signals $Xinmathbb{R}^n$, $Yinmathbb{R}^p$ in the context where the number $T$ of observations of the pair $(X,Y)$ is large but $n/T$ and $p/T$ are not supposed to be small. In the asymptotic regime where $n,p,T$ are large, with high probability, this algorithm is optimal for the Frobenius norm among rotationally invariant estimators, i.e. estimators derived from the empirical estimator by cleaning the singular values, while letting singular vectors unchanged.

Full work available at URL: https://arxiv.org/abs/1901.05543

Recommendations

• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• A well-conditioned estimator for large-dimensional covariance matrices
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Optimal rates of convergence for covariance matrix estimation
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

zbMATH Keywords

random matricescross-covariance matricesrotationally invariant estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• High-dimensional probability. An introduction with applications in data science
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Eigenvectors of some large sample covariance matrix ensembles
• Robust matrix completion
• Semicircle law on short scales and delocalization of eigenvectors for Wigner random matrices
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• Robust Estimates of Covariance Matrices in the Large Dimensional Regime
• Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices
• Local semicircle law for Wigner matrices
• Estimation of low-rank covariance function
• Cleaning large correlation matrices: tools from random matrix theory
• Large dimension forecasting models and random singular value spectra
• A Dynamical Approach to Random Matrix Theory
• Structured matrix estimation and completion
• Spectral analysis of the Gram matrix of mixture models
• Random matrices and high-dimensional statistics: beyond covariance matrices

Cited In (1)

• Matrix denoising: Bayes-optimal estimators via low-degree polynomials

This page was built for publication: Optimal cleaning for singular values of cross-covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6103997)