141,538 research outputs found
Estimation of the Covariance Matrix of Large Dimensional Data
This paper deals with the problem of estimating the covariance matrix of a
series of independent multivariate observations, in the case where the
dimension of each observation is of the same order as the number of
observations. Although such a regime is of interest for many current
statistical signal processing and wireless communication issues, traditional
methods fail to produce consistent estimators and only recently results relying
on large random matrix theory have been unveiled. In this paper, we develop the
parametric framework proposed by Mestre, and consider a model where the
covariance matrix to be estimated has a (known) finite number of eigenvalues,
each of it with an unknown multiplicity. The main contributions of this work
are essentially threefold with respect to existing results, and in particular
to Mestre's work: To relax the (restrictive) separability assumption, to
provide joint consistent estimates for the eigenvalues and their
multiplicities, and to study the variance error by means of a Central Limit
theorem
Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models
While most of the convergence results in the literature on high dimensional
covariance matrix are concerned about the accuracy of estimating the covariance
matrix (and precision matrix), relatively less is known about the effect of
estimating large covariances on statistical inferences. We study two important
models: factor analysis and panel data model with interactive effects, and
focus on the statistical inference and estimation efficiency of structural
parameters based on large covariance estimators. For efficient estimation, both
models call for a weighted principle components (WPC), which relies on a high
dimensional weight matrix. This paper derives an efficient and feasible WPC
using the covariance matrix estimator of Fan et al. (2013). However, we
demonstrate that existing results on large covariance estimation based on
absolute convergence are not suitable for statistical inferences of the
structural parameters. What is needed is some weighted consistency and the
associated rate of convergence, which are obtained in this paper. Finally, the
proposed method is applied to the US divorce rate data. We find that the
efficient WPC identifies the significant effects of divorce-law reforms on the
divorce rate, and it provides more accurate estimation and tighter confidence
intervals than existing methods
Covariance Estimation: The GLM and Regularization Perspectives
Finding an unconstrained and statistically interpretable reparameterization
of a covariance matrix is still an open problem in statistics. Its solution is
of central importance in covariance estimation, particularly in the recent
high-dimensional data environment where enforcing the positive-definiteness
constraint could be computationally expensive. We provide a survey of the
progress made in modeling covariance matrices from two relatively complementary
perspectives: (1) generalized linear models (GLM) or parsimony and use of
covariates in low dimensions, and (2) regularization or sparsity for
high-dimensional data. An emerging, unifying and powerful trend in both
perspectives is that of reducing a covariance estimation problem to that of
estimating a sequence of regression problems. We point out several instances of
the regression-based formulation. A notable case is in sparse estimation of a
precision matrix or a Gaussian graphical model leading to the fast graphical
LASSO algorithm. Some advantages and limitations of the regression-based
Cholesky decomposition relative to the classical spectral (eigenvalue) and
variance-correlation decompositions are highlighted. The former provides an
unconstrained and statistically interpretable reparameterization, and
guarantees the positive-definiteness of the estimated covariance matrix. It
reduces the unintuitive task of covariance estimation to that of modeling a
sequence of regressions at the cost of imposing an a priori order among the
variables. Elementwise regularization of the sample covariance matrix such as
banding, tapering and thresholding has desirable asymptotic properties and the
sparse estimated covariance matrix is positive definite with probability
tending to one for large samples and dimensions.Comment: Published in at http://dx.doi.org/10.1214/11-STS358 the Statistical
Science (http://www.imstat.org/sts/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
We establish large sample approximations for an arbitray number of bilinear
forms of the sample variance-covariance matrix of a high-dimensional vector
time series using -bounded and small -bounded weighting
vectors. Estimation of the asymptotic covariance structure is also discussed.
The results hold true without any constraint on the dimension, the number of
forms and the sample size or their ratios. Concrete and potential applications
are widespread and cover high-dimensional data science problems such as tests
for large numbers of covariances, sparse portfolio optimization and projections
onto sparse principal components or more general spanning sets as frequently
considered, e.g. in classification and dictionary learning. As two specific
applications of our results, we study in greater detail the asymptotics of the
trace functional and shrinkage estimation of covariance matrices. In shrinkage
estimation, it turns out that the asymptotics differs for weighting vectors
bounded away from orthogonaliy and nearly orthogonal ones in the sense that
their inner product converges to 0.Comment: 42 page
RMT for whitening space correlation and applications to radar detection
International audience—Adaptive radar detection and estimation schemes are often based on the independence of the secondary data used for building estimators and detectors. This paper relaxes this constraint and deals with the non-trivial problem of deriving detection and estimation schemes for joint spatial and temporal correlated radar measurements. Latest results from Random Matrix theory, used for large dimensional regime, allows to build a Toeplitz estimate of the spatial covariance matrix while the temporal covariance matrix is then estimated in a conventional way (Sample Covariance Matrix, M-estimates). These two joint estimates of the spatial and temporal covariance matrices leads to build Adaptive Radar Detectors, like Adaptive Normalized Matched Filter (ANMF). We show that taking care of the spatial covariance matrix may lead to significant performance improvements compared to classical procedures
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