Robust modifications of U-statistics and applications to covariance estimation problems

Abstract

Let $Y$ be a $d$-dimensional random vector with unknown mean $\mu $ and covariance matrix $\Sigma $. This paper is motivated by the problem of designing an estimator of $\Sigma $ that admits exponential deviation bounds in the operator norm under minimal assumptions on the underlying distribution, such as existence of only 4th moments of the coordinates of $Y$. To address this problem, we propose robust modifications of the operator-valued U-statistics, obtain non-asymptotic guarantees for their performance, and demonstrate the implications of these results to the covariance estimation problem under various structural assumptions.