User-Friendly Covariance Estimation for Heavy-Tailed Distributions
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User-Friendly Covariance Estimation for Heavy-Tailed Distributions

  • Author(s): Ke, Yuan
  • Minsker, Stanislav
  • Ren, Zhao
  • Sun, Qiang
  • Zhou, Wen-Xin
  • et al.

Published Web Location

https://doi.org/10.1214/19-STS711
Abstract

We offer a survey of recent results on covariance estimation for heavy-tailed distributions. By unifying ideas scattered in the literature, we propose user-friendly methods that facilitate practical implementation. Specifically, we introduce element-wise and spectrum-wise truncation operators, as well as their $M$-estimator counterparts, to robustify the sample covariance matrix. Different from the classical notion of robustness that is characterized by the breakdown property, we focus on the tail robustness which is evidenced by the connection between nonasymptotic deviation and confidence level. The key observation is that the estimators needs to adapt to the sample size, dimensionality of the data and the noise level to achieve optimal tradeoff between bias and robustness. Furthermore, to facilitate their practical use, we propose data-driven procedures that automatically calibrate the tuning parameters. We demonstrate their applications to a series of structured models in high dimensions, including the bandable and low-rank covariance matrices and sparse precision matrices. Numerical studies lend strong support to the proposed methods.

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