Electronic Journal of Statistics

Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation

T. Tony Cai, Zhao Ren, and Harrison H. Zhou

Full-text: Open access

Abstract

This is an expository paper that reviews recent developments on optimal estimation of structured high-dimensional covariance and precision matrices. Minimax rates of convergence for estimating several classes of structured covariance and precision matrices, including bandable, Toeplitz, sparse, and sparse spiked covariance matrices as well as sparse precision matrices, are given under the spectral norm loss. Data-driven adaptive procedures for estimating various classes of matrices are presented. Some key technical tools including large deviation results and minimax lower bound arguments that are used in the theoretical analyses are discussed. In addition, estimation under other losses and a few related problems such as Gaussian graphical models, sparse principal component analysis, factor models, and hypothesis testing on the covariance structure are considered. Some open problems on estimating high-dimensional covariance and precision matrices and their functionals are also discussed.

Article information

Source
Electron. J. Statist., Volume 10, Number 1 (2016), 1-59.

Dates
Received: August 2014
First available in Project Euclid: 17 February 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1455715952

Digital Object Identifier
doi:10.1214/15-EJS1081

Mathematical Reviews number (MathSciNet)
MR3466172

Zentralblatt MATH identifier
1331.62272

Subjects
Primary: 62H12: Estimation
Secondary: 62F12: Asymptotic properties of estimators 62G09: Resampling methods

Keywords
Adaptive estimation banding block thresholding covariance matrix factor model Frobenius norm Gaussian graphical model hypothesis testing minimax lower bound operator norm optimal rate of convergence precision matrix Schatten norm spectral norm tapering thresholding

Citation

Cai, T. Tony; Ren, Zhao; Zhou, Harrison H. Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation. Electron. J. Statist. 10 (2016), no. 1, 1--59. doi:10.1214/15-EJS1081. https://projecteuclid.org/euclid.ejs/1455715952


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See also

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