English

Partial estimation of covariance matrices

Statistics Theory 2014-03-05 v2 Probability Statistics Theory

Abstract

A classical approach to accurately estimating the covariance matrix \Sigma of a p-variate normal distribution is to draw a sample of size n > p and form a sample covariance matrix. However, many modern applications operate with much smaller sample sizes, thus calling for estimation guarantees in the regime n << p. We show that a sample of size n = O(m log^6 p) is sufficient to accurately estimate in operator norm an arbitrary symmetric part of \Sigma consisting of m < n entries per row. This follows from a general result on estimating Hadamard products M.\Sigma, where M is an arbitrary symmetric matrix.

Keywords

Cite

@article{arxiv.1008.1716,
  title  = {Partial estimation of covariance matrices},
  author = {Elizaveta Levina and Roman Vershynin},
  journal= {arXiv preprint arXiv:1008.1716},
  year   = {2014}
}

Comments

15 pages, to appear in PTRF. Small changes in light of comments from the referee

R2 v1 2026-06-21T15:59:02.994Z