High-dimensional covariance matrix estimation with missing observations

Abstract

In this paper, we study the problem of high-dimensional covariance matrix estimation with missing observations. We propose a simple procedure computationally tractable in high-dimension and that does not require imputation of the missing data. We establish non-asymptotic sparsity oracle inequalities for the estimation of the covariance matrix involving the Frobenius and the spectral norms which are valid for any setting of the sample size, probability of a missing observation and the dimensionality of the covariance matrix. We further establish minimax lower bounds showing that our rates are minimax optimal up to a logarithmic factor.