Sparse covariance matrix estimation in high-dimensional deconvolution

被引:7
|
作者
Belomestny, Denis [1 ,2 ]
Trabs, Mathias [3 ]
Tsybakov, Alexandre B. [4 ]
机构
[1] Duisburg Essen Univ, Fac Math, Thea Leymann Str 9, D-45127 Essen, Germany
[2] Natl Res Univ, Higher Sch Econ, Shabolovka 26, Moscow 119049, Russia
[3] Univ Hamburg, Fac Math, Bundesstr 55, D-20146 Hamburg, Germany
[4] ENSAE, CREST, 5 Ave Henry Le Chatelier, F-91120 Palaiseau, France
关键词
Fourier methods; minimax convergence rates; severely ill-posed inverse problem; thresholding; OPTIMAL RATES; DENSITY-ESTIMATION; MINIMAX ESTIMATION; CONVERGENCE; NOISE;
D O I
10.3150/18-BEJ1040A
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the estimation of the covariance matrix Sigma of a p-dimensional normal random vector based on n 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 Sigma. 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 n/log p. 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.
引用
收藏
页码:1901 / 1938
页数:38
相关论文
共 50 条
  • [21] SPARSE COVARIANCE THRESHOLDING FOR HIGH-DIMENSIONAL VARIABLE SELECTION
    Jeng, X. Jessie
    Daye, Z. John
    [J]. STATISTICA SINICA, 2011, 21 (02) : 625 - 657
  • [22] Sparse covariance matrix estimation for ultrahigh dimensional data
    Liang, Wanfeng
    Wu, Yue
    Chen, Hui
    [J]. STAT, 2022, 11 (01):
  • [23] Robust sparse precision matrix estimation for high-dimensional compositional data
    Liang, Wanfeng
    Wu, Yue
    Ma, Xiaoyan
    [J]. STATISTICS & PROBABILITY LETTERS, 2022, 184
  • [24] Estimation of high-dimensional vector autoregression via sparse precision matrix
    Poignard, Benjamin
    Asai, Manabu
    [J]. ECONOMETRICS JOURNAL, 2023, 26 (02): : 307 - 326
  • [25] Testing identity of high-dimensional covariance matrix
    Wang, Hao
    Liu, Baisen
    Shi, Ning-Zhong
    Zheng, Shurong
    [J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2018, 88 (13) : 2600 - 2611
  • [26] Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
    Chang, Jinyuan
    Hu, Qiao
    Liu, Cheng
    Tang, Cheng Yong
    [J]. JOURNAL OF ECONOMETRICS, 2024, 239 (02)
  • [27] Variable selection in multivariate linear models with high-dimensional covariance matrix estimation
    Perrot-Dockes, Marie
    Levy-Leduc, Celine
    Sansonnet, Laure
    Chiquet, Julien
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2018, 166 : 78 - 97
  • [28] ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH-DIMENSIONAL SAMPLE COVARIANCE MATRIX
    Bai, Zhidong
    Chen, Jiaqi
    Yao, Jianfeng
    [J]. AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2010, 52 (04) : 423 - 437
  • [29] A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation
    Yuan, Jin
    Yuan, Xianghui
    [J]. SAGE OPEN, 2023, 13 (02):
  • [30] Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
    Cai, Tony
    Liu, Weidong
    Xia, Yin
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2013, 108 (501) : 265 - 277