High-dimensional covariance matrix estimation with missing observations

被引:102
|
作者
Lounici, Karim [1 ]
机构
[1] Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA
关键词
covariance matrix; Lasso; low-rank matrix estimation; missing observations; non-commutative Bernstein inequality; optimal rate of convergence; DANTZIG SELECTOR; OPTIMAL RATES; CONVERGENCE; COMPLETION; EQUATIONS; LASSO; MODEL;
D O I
10.3150/12-BEJ487
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
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.
引用
收藏
页码:1029 / 1058
页数:30
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