کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6869741 681379 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stable estimation of a covariance matrix guided by nuclear norm penalties
ترجمه فارسی عنوان
برآورد پایدار یک ماتریس کوواریانس هدایت شده توسط مجازات های هسته ای
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
چکیده انگلیسی
Estimation of a covariance matrix or its inverse plays a central role in many statistical methods. For these methods to work reliably, estimated matrices must not only be invertible but also well-conditioned. The current paper introduces a novel prior to ensure a well-conditioned maximum a posteriori (MAP) covariance estimate. The prior shrinks the sample covariance estimator towards a stable target and leads to a MAP estimator that is consistent and asymptotically efficient. Thus, the MAP estimator gracefully transitions towards the sample covariance matrix as the number of samples grows relative to the number of covariates. The utility of the MAP estimator is demonstrated in two standard applications-discriminant analysis and EM clustering-in challenging sampling regimes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 80, December 2014, Pages 117-128
نویسندگان
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