Large Dimensional Covariance Matrix Estimation with Decomposition-based Regularization
Author | : |
Publisher | : |
Total Pages | : 129 |
Release | : 2014 |
ISBN-10 | : OCLC:913744335 |
ISBN-13 | : |
Rating | : 4/5 (35 Downloads) |
Download or read book Large Dimensional Covariance Matrix Estimation with Decomposition-based Regularization written by and published by . This book was released on 2014 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation of population covariance matrices from samples of multivariate data is of great importance. When the dimension of a covariance matrix is large but the sample size is limited, it is well known that the sample covariance matrix is dissatisfactory. However, the improvement of covariance matrix estimation is not straightforward, mainly because of the constraint of positive definiteness. This thesis work considers decomposition-based methods to circumvent this primary difficulty. Two ways of covariance matrix estimation with regularization on factor matrices from decompositions are included. One approach replies on the modified Cholesky decomposition from Pourahmadi, and the other technique, matrix exponential or matrix logarithm, is closely related to the spectral decomposition. We explore the usage of covariance matrix estimation by imposing L1 regularization on the entries of Cholesky factor matrices, and find the estimates from this approach are not sensitive to the orders of variables. A given order of variables is the prerequisite in the application of the modified Cholesky decomposition, while in practice, information on the order of variables is often unknown. We take advantage of this property to remove the requirement of order information, and propose an order-invariant covariance matrix estimate by refining estimates corresponding to different orders of variables. The refinement not only guarantees the positive definiteness of the estimated covariance matrix, but also is applicable in general situations without the order of variables being pre-specified. The refined estimate can be approximated by only combining a moderate number of representative estimates. Numerical simulations are conducted to evaluate the performance of the proposed method in comparison with several other estimates. By applying the matrix exponential technique, the problem of estimating positive definite covariance matrices is transformed into a problem of estimating symmetric matrices. There are close connections between covariance matrices and their logarithm matrices, and thus, pursing a matrix logarithm with certain properties helps restoring the original covariance matrix. The covariance matrix estimate from applying L1 regularization to the entries of the matrix logarithm is compared to some other estimates in simulation studies and real data analysis.