Improving on the empirical covariance matrix using truncated PCA with white noise residuals
Atmospheric and Oceanic Physics
2007-05-23 v1
Abstract
The empirical covariance matrix is not necessarily the best estimator for the population covariance matrix: we describe a simple method which gives better estimates in two examples. The method models the covariance matrix using truncated PCA with white noise residuals. Jack-knife cross-validation is used to find the truncation that maximises the out-of-sample likelihood score.
Keywords
Cite
@article{arxiv.physics/0506055,
title = {Improving on the empirical covariance matrix using truncated PCA with white noise residuals},
author = {Stephen Jewson},
journal= {arXiv preprint arXiv:physics/0506055},
year = {2007}
}