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November 2022 Matrix means and a novel high-dimensional shrinkage phenomenon
Asad Lodhia, Keith Levin, Elizaveta Levina
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Bernoulli 28(4): 2578-2605 (November 2022). DOI: 10.3150/21-BEJ1430


Many statistical settings call for estimating a population parameter, most typically the population mean, based on a sample of matrices. The most natural estimate of the population mean is the arithmetic mean, but there are many other matrix means that may behave differently, especially in high dimensions. Here we consider the matrix harmonic mean as an alternative to the arithmetic matrix mean. We show that in certain high-dimensional regimes, the harmonic mean yields an improvement over the arithmetic mean in estimation error as measured by the operator norm. Counter-intuitively, studying the asymptotic behavior of these two matrix means in a spiked covariance estimation problem, we find that this improvement in operator norm error does not imply better recovery of the leading eigenvector. We also show that a Rao-Blackwellized version of the harmonic mean is equivalent to a linear shrinkage estimator studied previously in the high-dimensional covariance estimation literature, while applying a similar Rao-Blackwellization to regularized sample covariance matrices yields a novel nonlinear shrinkage estimator. Simulations complement the theoretical results, illustrating the conditions under which the harmonic matrix mean yields an empirically better estimate.

Funding Statement

K. Levin and A. Lodhia are supported by a NSF DMS Research Training Grant 1646108. E. Levina’s research is partially supported by NSF DMS grants 1521551 and 1916222.


The authors would like to thank the referees for their comments and suggestions.


Download Citation

Asad Lodhia. Keith Levin. Elizaveta Levina. "Matrix means and a novel high-dimensional shrinkage phenomenon." Bernoulli 28 (4) 2578 - 2605, November 2022.


Received: 1 October 2019; Published: November 2022
First available in Project Euclid: 17 August 2022

Digital Object Identifier: 10.3150/21-BEJ1430

Keywords: Covariance estimation , matrix means , positive definite cone , shrinkage estimators


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Vol.28 • No. 4 • November 2022
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