On the theoretic and practical merits of the banding estimator for large covariance matrices

Luo Xiao; Florentina Bunea

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arXiv · 1402.0844

On the theoretic and practical merits of the banding estimator for large covariance matrices

Luo Xiao·Florentina Bunea

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Abstract

This paper considers the banding estimator proposed in Bickel and Levina (2008) for estimation of large covariance matrices. We prove that the banding estimator achieves rate-optimality under the operator norm, for a class of approximately banded covariance matrices, improving the existing results in Bickel and Levina (2008). In addition, we propose a Stein's unbiased risk estimate (Sure)-type approach for selecting the bandwidth for the banding estimator. Simulations indicate that the Sure-tuned banding estimator outperforms competing estimators.

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Luo Xiao, Florentina Bunea. 2014-02-04. On the theoretic and practical merits of the banding estimator for large covariance matrices. https://arxiv.org/abs/1402.0844

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