Statistical Science

User-Friendly Covariance Estimation for Heavy-Tailed Distributions

Yuan Ke, Stanislav Minsker, Zhao Ren, Qiang Sun, and Wen-Xin Zhou

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We provide a survey of recent results on covariance estimation for heavy-tailed distributions. By unifying ideas scattered in the literature, we propose user-friendly methods that facilitate practical implementation. Specifically, we introduce elementwise and spectrumwise truncation operators, as well as their $M$-estimator counterparts, to robustify the sample covariance matrix. Different from the classical notion of robustness that is characterized by the breakdown property, we focus on the tail robustness which is evidenced by the connection between nonasymptotic deviation and confidence level. The key insight is that estimators should adapt to the sample size, dimensionality and noise level to achieve optimal tradeoff between bias and robustness. Furthermore, to facilitate practical implementation, we propose data-driven procedures that automatically calibrate the tuning parameters. We demonstrate their applications to a series of structured models in high dimensions, including the bandable and low-rank covariance matrices and sparse precision matrices. Numerical studies lend strong support to the proposed methods.

Article information

Statist. Sci., Volume 34, Number 3 (2019), 454-471.

First available in Project Euclid: 11 October 2019

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Zentralblatt MATH identifier

Covariance estimation heavy-tailed data $M$-estimation nonasymptotics tail robustness truncation


Ke, Yuan; Minsker, Stanislav; Ren, Zhao; Sun, Qiang; Zhou, Wen-Xin. User-Friendly Covariance Estimation for Heavy-Tailed Distributions. Statist. Sci. 34 (2019), no. 3, 454--471. doi:10.1214/19-STS711.

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Supplemental materials

  • Supplement to “User-Friendly Covariance Estimation for Heavy-Tailed Distributions”. In this supplement, we provide proofs of all the theoretical results in the main text. In addition, we investigate robust covariance estimation and inference under factor models, which might be of independent interest.