Related papers: Fitting covariance matrix models to simulations
Constraining cosmology using weak gravitational lensing consists of comparing a measured feature vector of dimension $N_b$ with its simulated counterpart. An accurate estimate of the $N_b\times N_b$ feature covariance matrix $\mathbf{C}$ is…
The problem of detecting changes in covariance for a single pair of features has been studied in some detail, but may be limited in importance or general applicability. In contrast, testing equality of covariance matrices of a {\it set} of…
The dependency structure of multivariate data can be analyzed using the covariance matrix $\Sigma$. In many fields the precision matrix $\Sigma^{-1}$ is even more informative. As the sample covariance estimator is singular in…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…
We introduce a unified approach to testing a variety of rather general null hypotheses that can be formulated in terms of covariances matrices. These include as special cases, for example, testing for equal variances, equal traces, or for…
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…
Focusing on the well motivated aperture mass statistics $\Map$, we study the possibility of constraining cosmological parameters using future space based SNAP class weak lensing missions. Using completely analytical results we construct the…
Accurate covariance matrices are required for a reliable estimation of cosmological parameters from pseudo-power spectrum estimators. In this work, we focus on the analytical calculation of covariance matrices. We consider the case of…
Due to the availability of large molecular data-sets, covariance models are increasingly used to describe the structure of genetic variation as an alternative to more heavily parametrised biological models. We focus here on a class of…
This paper investigates a statistical procedure for testing the equality of two independent estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance…
Fitting high-dimensional data involves a delicate tradeoff between faithful representation and the use of sparse models. Too often, sparsity assumptions on the fitted model are too restrictive to provide a faithful representation of the…
Counts-in-cells (CIC) measurements contain a wealth of cosmological information yet are seldom used to constrain theories. Although we can predict the shape of the distribution for a given cosmology, to fit a model to the observed CIC…
Third-order weak lensing statistics are a promising tool for cosmological analyses since they extract cosmological information in the non-Gaussianity of the cosmic large-scale structure. However, such analyses require precise and accurate…
Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform $[-1,1]$ deviates as pairwise correlations…
Multivariate geostatistics is based on modelling all covariances between all possible combinations of two or more variables at any sets of locations in a continuously indexed domain. Multivariate spatial covariance models need to be built…
We study the mean number counts and two-point correlation functions, along with their covariance matrices, of cosmological surveys such as for clusters. In particular, we consider correlation functions averaged over finite redshift…
Covariance matrix estimation is a fundamental statistical task in many applications, but the sample covariance matrix is sub-optimal when the sample size is comparable to or less than the number of features. Such high-dimensional settings…
We present a method for fast evaluation of the covariance matrix for a two-point galaxy correlation function (2PCF) measured with the Landy-Szalay estimator. The standard way of evaluating the covariance matrix consists in running the…
Recently many regularized estimators of large covariance matrices have been proposed, and the tuning parameters in these estimators are usually selected via cross-validation. However, there is no guideline on the number of folds for…