Related papers: Asymptotic non-linear shrinkage and eigenvector ov…
We study weighted M-estimators for $\mathbb{R}^d$-valued clustered data and give sufficient conditions for their consistency. Their asymptotic normality is established with estimation of the asymptotic covariance matrix. We address the…
We propose another proof of the high dimensional spectrum convergence of the weighted sample covariance, more concise and self-sufficient but with stronger, but reasonable assumptions. We explain and illustrates this theorem for different…
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and the marginal covariances, for which one needs valid tests.…
We derive an optimal shrinkage sample covariance matrix (SCM) estimator which is suitable for high dimensional problems and when sampling from an unspecified elliptically symmetric distribution. Specifically, we derive the optimal (oracle)…
This work develops non-asymptotic theory for estimation of the long-run variance matrix and its inverse, the so-called precision matrix, for high-dimensional time series under general assumptions on the dependence structure including…
This paper considers the problem of estimating a high-dimensional (HD) covariance matrix when the sample size is smaller, or not much larger, than the dimensionality of the data, which could potentially be very large. We develop a…
We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the spike magnitude of leading eigenvalues, sample size, and dimensionality. This…
We develop a class of data-adaptive shrinkage estimators for high-dimensional covariance estimation in which the shrinkage target is a Reynolds projection of the sample covariance under a finite symmetry group selected from a candidate…
We study the problem of computationally efficient robust estimation of the covariance/scatter matrix of elliptical distributions -- that is, affine transformations of spherically symmetric distributions -- under the strong contamination…
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…
We propose a class of robust estimates for multivariate linear models. Based on the approach of MM estimation (Yohai 1987), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have…
Sparse regression and classification estimators that respect group structures have application to an assortment of statistical and machine learning problems, from multitask learning to sparse additive modeling to hierarchical selection.…
Multi-target linear shrinkage is an extension of the standard single-target linear shrinkage for covariance estimation. We combine several constant matrices - the targets - with the sample covariance matrix. We derive the oracle and a…
Tyler's and Maronna's M-estimators, as well as their regularized variants, are popular robust methods to estimate the scatter or covariance matrix of a multivariate distribution. In this work, we study the non-asymptotic behavior of these…
We provide a unified approach to a method of estimation of the regression parameter in balanced linear models with a structured covariance matrix that combines a high breakdown point and bounded influence with high asymptotic efficiency at…
Many machine learning algorithms require precise estimates of covariance matrices. The sample covariance matrix performs poorly in high-dimensional settings, which has stimulated the development of alternative methods, the majority based on…
In this paper we derive the optimal linear shrinkage estimator for the high-dimensional mean vector using random matrix theory. The results are obtained under the assumption that both the dimension $p$ and the sample size $n$ tend to…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
This paper investigates the nonparametric estimation of a circular regression function in an errors-in-variables framework. Two settings are studied, depending on whether the covariates are circular or linear. Adaptive estimators are…
This paper discusses the simultaneous inference of mean parameters in a family of distributions with quadratic variance function. We first introduce a class of semiparametric/parametric shrinkage estimators and establish their asymptotic…