Sparse covariance matrix estimation in high-dimensional deconvolution

被引:7
|
作者
Belomestny, Denis [1 ,2 ]
Trabs, Mathias [3 ]
Tsybakov, Alexandre B. [4 ]
机构
[1] Duisburg Essen Univ, Fac Math, Thea Leymann Str 9, D-45127 Essen, Germany
[2] Natl Res Univ, Higher Sch Econ, Shabolovka 26, Moscow 119049, Russia
[3] Univ Hamburg, Fac Math, Bundesstr 55, D-20146 Hamburg, Germany
[4] ENSAE, CREST, 5 Ave Henry Le Chatelier, F-91120 Palaiseau, France
关键词
Fourier methods; minimax convergence rates; severely ill-posed inverse problem; thresholding; OPTIMAL RATES; DENSITY-ESTIMATION; MINIMAX ESTIMATION; CONVERGENCE; NOISE;
D O I
10.3150/18-BEJ1040A
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the estimation of the covariance matrix Sigma of a p-dimensional normal random vector based on n independent observations corrupted by additive noise. Only a general nonparametric assumption is imposed on the distribution of the noise without any sparsity constraint on its covariance matrix. In this high-dimensional semiparametric deconvolution problem, we propose spectral thresholding estimators that are adaptive to the sparsity of Sigma. We establish an oracle inequality for these estimators under model miss-specification and derive non-asymptotic minimax convergence rates that are shown to be logarithmic in n/log p. We also discuss the estimation of low-rank matrices based on indirect observations as well as the generalization to elliptical distributions. The finite sample performance of the threshold estimators is illustrated in a numerical example.
引用
收藏
页码:1901 / 1938
页数:38
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