The Annals of Statistics
- Ann. Statist.
- Volume 36, Number 6 (2008), 2577-2604.
Covariance regularization by thresholding
This paper considers regularizing a covariance matrix of p variables estimated from n observations, by hard thresholding. We show that the thresholded estimate is consistent in the operator norm as long as the true covariance matrix is sparse in a suitable sense, the variables are Gaussian or sub-Gaussian, and (log p)/n→0, and obtain explicit rates. The results are uniform over families of covariance matrices which satisfy a fairly natural notion of sparsity. We discuss an intuitive resampling scheme for threshold selection and prove a general cross-validation result that justifies this approach. We also compare thresholding to other covariance estimators in simulations and on an example from climate data.
Ann. Statist., Volume 36, Number 6 (2008), 2577-2604.
First available in Project Euclid: 5 January 2009
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Bickel, Peter J.; Levina, Elizaveta. Covariance regularization by thresholding. Ann. Statist. 36 (2008), no. 6, 2577--2604. doi:10.1214/08-AOS600. https://projecteuclid.org/euclid.aos/1231165180