Estimation of functionals of sparse covariance matrices

DOI10.1214/15-AOS1357zbMATH Open1327.62338arXiv1408.5087OpenAlexW3102937696WikidataQ40066007 ScholiaQ40066007MaRDI QIDQ892255FDOQ892255

Jianqing Fan, Philippe Rigollet, Weichen Wang

Publication date: 18 November 2015

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

Abstract: High-dimensional statistical tests often ignore correlations to gain simplicity and stability leading to null distributions that depend on functionals of correlation matrices such as their Frobenius norm and other $el{l}_r$ norms. Motivated by the computation of critical values of such tests, we investigate the difficulty of estimation the functionals of sparse correlation matrices. Specifically, we show that simple plug-in procedures based on thresholded estimators of correlation matrices are sparsity-adaptive and minimax optimal over a large class of correlation matrices. Akin to previous results on functional estimation, the minimax rates exhibit an elbow phenomenon. Our results are further illustrated in simulated data as well as an empirical study of data arising in financial econometrics.

Full work available at URL: https://arxiv.org/abs/1408.5087

zbMATH Keywords

minimaxcovariance matrixfunctional estimationelbow effecthigh-dimensional testing

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Minimax procedures in statistical decision theory (62C20)

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