Sparse covariance matrix estimation in high-dimensional deconvolution
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Abstract: We study the estimation of the covariance matrix of a -dimensional normal random vector based on independent observations corrupted by additive noise. Only a general nonparametric assumption is imposed on the distribution of the noise without any sparsity constraint on its covariance matrix. In this high-dimensional semiparametric deconvolution problem, we propose spectral thresholding estimators that are adaptive to the sparsity of . We establish an oracle inequality for these estimators under model miss-specification and derive non-asymptotic minimax convergence rates that are shown to be logarithmic in . We also discuss the estimation of low-rank matrices based on indirect observations as well as the generalization to elliptical distributions. The finite sample performance of the threshold estimators is illustrated in a numerical example.
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Cited in
(10)- Adjusting for high-dimensional covariates in sparse precision matrix estimation by \(\ell_1\)-penalization
- Minimax optimal estimation of high-dimensional sparse covariance matrices with missing data
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