Estimation of functionals of sparse covariance matrices

Jianqing Fan, Philippe Rigollet, Weichen Wang

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

High-dimensional statistical tests often ignore correlations to gain simplicity and stability leading to null distributions that depend on functionals of correlation matrices such as their Frobenius norm and other Lr norms. Motivated by the computation of critical values of such tests, we investigate the difficulty of estimation the functionals of sparse correlation matrices. Specifically, we show that simple plug-in procedures based on thresholded estimators of correlation matrices are sparsity-adaptive and minimax optimal over a large class of correlation matrices. Akin to previous results on functional estimation, the minimax rates exhibit an elbow phenomenon. Our results are further illustrated in simulated data as well as an empirical study of data arising in financial econometrics.

Original languageEnglish (US)
Pages (from-to)2706-2737
Number of pages32
JournalAnnals of Statistics
Volume43
Issue number6
DOIs
StatePublished - Dec 2015

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Covariance matrix
  • Elbow effect
  • Functional estimation
  • High-dimensional testing
  • Minimax

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